Dim mySessionOptions As New WinSCPnet.SessionOptions
With mySessionOptions ' Getting error here ActiveX component can't create object

Private Sub download(ByRef mySession As Session)
    ' Setup session options
    Dim mySessionOptions As New SessionOptions
    With mySessionOptions
       .Protocol = Protocol_Webdav
       .HostName = "abcd.com"
       .PortNumber = 443
       .UserName = "username"
       .Password = "password"
       .WebdavSecure = True
       .TlsClientCertificatePath = "path_to_key"
    End With
 
    ' Connect
    mySession.Open mySessionOptions
    NameFile = "name_of_file"
    RemotePath = "name_of_file"
    Dim transferResult As TransferOperationResult
    Set transferResult = mySession.GetFiles(RemotePath, NameFile, False)
    
    ' Throw on any error
    transferResult.check
     
    ' Display results
    Dim transfer As TransferEventArgs
    For Each transfer In transferResult.Transfers
        MsgBox "Downloaded"
    Next
End Sub