What is z:\?
If it is a local path you want to move the remote files to, the you need to use:
get -delete archive/* z:\
(in winscp 4.1.x only)
If it is indeed a remote path (if the server is windows machine), then you may still need to use forward slash:
mv archive/* z:/

Any ideas what the problem may be? Permissions don't seem to be an issue. I can move files using the GUI and it worked in the past (no known server configuration changes have been made):

winscp> mv archive/* z:\
Error moving file 'archive/MSN119493845_ST#1135824_PO#11-0000136920.pdf' to 'z:'
.
Bad message (badly formatted packet or protocol incompatibility).
Error code: 5
Error message from server (en):
Request code: 18
(A)bort, (R)etry, (S)kip, Ski(p) all: Abort
winscp>