Thanks for your report.

This bug has been added to the tracker:
https://winscp.net/tracker/1495

Meanwhile, just place the winscp.exe along with the winscpnet.dll (what is the recommended setup anyway) or use Session.ExecutablePath to point to the winscp.exe location.
See https://winscp.net/eng/docs/library_install#installing

When i try to list all directory in Windows XP i receive that message:

System.EntryPointNotFoundException: Unable to find an entry point named 'RegGetValue' in DLL 'advapi32'.
at WinSCP.UnsafeNativeMethods.RegGetValue(UIntPtr hkey, String lpSubKey, String lpValue, RegistryFlags dwFlags, RegistryType& pdwType, IntPtr pvData, UInt32& pcbData)
at WinSCP.ExeSessionProcess.GetInstallationPath(RegistryHive hive)
at WinSCP.ExeSessionProcess.GetExecutablePath()
at WinSCP.ExeSessionProcess..ctor(Session session, Boolean use XmlLog, String additionalArguments)
at WinSCP.Session.Open(SessionOptions sessionOptions)

That arquive exists in the System32 Directory and is in using by Windows,

That Windows installation is for testing, are full SP3.

I'm using WinScp 1.9.3 the latest version