You need to use "open" command before "get".
See example.

I'm trying to understand how to GET and PUT files from an SFTP site with WinSCP using without using the GUI, and I'm not having much luck.

From the GUI, in order to log in to our SFTP site, I do this:

Host name: sftp.sftpserver.net
Port Number: 21
User name: internaluser
Password: internalPassword
File protocol: SFTP
Allow SCP fallback: (true)

from there, the files I need reside at /statefiles/import

I've tried this from the command prompt:

C:\ cd c:\Program Files
C:\Program Files>WinSCP\WinSCP.com /command "get newfile.csv /statefiles/import/" "exit"

What I get back is 'No Session'

How do I do this correctly?

Thanks.