I would like to know how to store the configuration into the exe file
The solution that WinSCP supports is not perfect. So it may not satisfy your needs, but just in case:
You may embed session settings and key as custom resource (RCData) of executable file. These resources can be changed directly in binary EXE file.
When you start WinSCP, it first checks whether EXE file contains a RCData resource named WINSCP_SESSION. If it does not find the resource, it works as usually. Otherwise, it treats this resource as a content of INI file with session configuration. When WinSCP is started with no parameter it uses first session, otherwise first parameter is considered to be a session name.
Using selected session it starts with connection (supposing, that the session configuration has all required information, otherwise login dialog is shown). When session has no associated key file and WinSCP finds resource named WINSCP_KEY, it uses the key stored in the resource.
How to create session INI file: Create session in WinSCP GUI and save configuration to INI file instead of registry (see preferences dialog). In created INI file (in same directory where EXE file is) find group of the session named [Sessions\session name]. Extract this group to separate INI file.
You cannot embed general configuration options! If you do they will be ignored.
To create key file to embed, use puttygen tool from Putty package (link is on WinSCP site).
To embed INI file and key file to EXE file, use any resource editor you want (there are plenty of them on internet). I've used ResHacker available at: http://www.angusj.com/resourcehacker/
It is a freeware. This tool has GUI, but it can also be used from command-line.