2FA authentication is server-side thing. You cannot set it up in a client.

Or do you mean that your server already requires 2FA authentication, but you cannot somehow login with WinSCP? In that case, we need more details about the 2FA authentication and how specifically it fails with WinSCP.

I'm new with this program. I know the basics, but how can I set up a 2fa system? I mean a secret key, custom code in my phone etc.

Thank you.