Okay... I must google what is a trace file and found this 
https://winscp.net/eng/docs/debugging
I use winscp 5.14.2 (Dev Build 8964 2018-11-20)
@Quick Instructions
    Windows Explorer will open with the trace file selected.    
After closing winscp, its not open explorer. And that's a good thing.
@Advanced Instructions
    If the Windows Explorer does not open with the trace file, locate it manually in the same folder, where you have extracted the winscp.exe executable to. The trace file has a name like winscpXXXXtrace.log.    
In the folder with winscp there is no file named winscp*.log. This folder have write access. Its updated winscp.ini and its startet with administrator privileges.