Can you send me a screenshot of the message? I cannot recollect such message. I also use USB memory sticks and I have never seen it.
In version 3.5.6 when I plug a write-protected memory stick into the USB port in Windows/XP, WinSCP repeatedly pops up a dialog that the files on the memory stick cannot be written. That happens even though I only try to read the files from the memory stick.
Maybe things can be improved soon.
Regards,
Ulrich