I think you're confusing the technology :)

WinSCP = Secure File Copy
SSH = Secure (Command) Shell

You can use SSH (eg via Putty) to execute commands on your servers.
You /may be/ able to use WinSCP to connect to the server and upload/download the SQL dump file to the servers file system, but not to the mySQL application.

Make sense? 8)

This is my first time using WinSCP and SSH

I'm trying to import a MySQL dump file from my testing server into my live server. I'm getting the error

"Enter password: ERROR 1045 (28000): Access denied for user 'username'@'localhost' (using password: YES)"