Hi All,
This error was due to mismatch in .EXE installed on my server and .Net wrapper referenced in code. Provided Executable path (as Version can changes on server) and now able to connect.
session.ExecutablePath 
Thought of sharing it as I have spent lot of time on it.
Thanks
                
            
        
    
    
        
        
            
            
                This is the code I am using. I am able to connect via WinScp GUI using same credentials. I tried by removing/setting log file paths..same error in both cases. Can anyone help me to resolve it.
 
                With sessionOptions
                    .Protocol = Protocol.Sftp
                    .HostName = glo.strBBSFTPServerName
                    .PortNumber = glo.Port
                    .UserName = glo.SFTPUsername
                    .Password = glo.SFTPPassword
                    .SshHostKeyFingerprint = glo.sshKey
                End With
 With session
                    .DisableVersionCheck = True
                    .DebugLogPath = "C:\Development\WinSCPDebugLog.txt"
                    .SessionLogPath = "C:\Development\WinSCPSessionLog.xml"
                    '''.XmlLogPath = "C:\Development\Products\MB\MBLogs\MBDataFeedAgent\WinSCPXMLLog.xml"
                End With
                session.Open(sessionOptions)
Log file says:
SessionLogReader.Read leaving
[2016-02-10 15:47:23.755Z] [0003]   ExeSessionProcess.ProcessEvent leaving
[2016-02-10 15:47:23.755Z] [0001]   SessionLogReader.Read entering
[2016-02-10 15:47:23.755Z] [0001]     Read node 10: Whitespace 
  
[2016-02-10 15:47:23.755Z] [0003]   ExeSessionProcess.ProcessEvent entering
[2016-02-10 15:47:23.755Z] [0003]   ExeSessionProcess.ProcessEvent leaving
[2016-02-10 15:47:23.755Z] [0001]     Log contents has not changed
[2016-02-10 15:47:23.755Z] [0001]   SessionLogReader.Read leaving
[2016-02-10 15:47:23.755Z] [0003]   ExeSessionProcess.ProcessEvent entering
[2016-02-10 15:47:23.755Z] [0001]   SessionLogReader.Read entering
[2016-02-10 15:47:23.755Z] [0001]     Read node 11: EndElement group
[2016-02-10 15:47:23.755Z] [0003]     ExeSessionProcess.ProcessInputEvent entering
[2016-02-10 15:47:23.755Z] [0001]     Log contents has not changed
[2016-02-10 15:47:23.755Z] [0001]   SessionLogReader.Read leaving
[2016-02-10 15:47:23.755Z] [0001]   Exception: WinSCP.SessionLocalException: Element "cwd" not found in the log file
[2016-02-10 15:47:23.755Z] [0001]   ElementLogReader.Dispose entering
[2016-02-10 15:47:23.755Z] [0001]     ElementLogReader.ReadToEnd entering
[2016-02-10 15:47:23.755Z] [0001]     ElementLogReader.ReadToEnd leaving
[2016-02-10 15:47:23.755Z] [0001]   ElementLogReader.Dispose leaving
[2016-02-10 15:47:23.755Z] [0001]   Exception: WinSCP.SessionLocalException: Element "cwd" not found in the log file
   at WinSCP.CustomLogReader.WaitForNonEmptyElement(String localName, LogReadFlags flags)
   at WinSCP.Session.Open(SessionOptions sessionOptions)
[2016-02-10 15:47:23.755Z] [0001]   Session.Cleanup entering
[2016-02-10 15:47:23.755Z] [0001]     Terminating process
[2016-02-10 15:47:23.755Z] [0001]     Command: [exit]
[2016-02-10 15:47:23.755Z] [0001]     ExeSessionProcess.ExecuteCommand entering
[2016-02-10 15:47:23.755Z] [0001]     ExeSessionProcess.ExecuteCommand leaving
[2016-02-10 15:47:23.755Z] [0003]       Scheduling output: [winscp> exit]
[2016-02-10 15:47:23.755Z] [0003]     ExeSessionProcess.ProcessInputEvent leaving
[2016-02-10 15:47:23.755Z] [0003]   ExeSessionProcess.ProcessEvent leaving
[2016-02-10 15:47:23.755Z] [0001]     ExeSessionProcess.Close entering
[2016-02-10 15:47:23.755Z] [0001]       Waiting for process to exit (2000 ms)
[2016-02-10 15:47:23.864Z] [0003]   Process 6388 exited with exit code 0