Problems downloading and getting started

When I try to download WinSCP2 instalation package, WinSCP aplication (2.4MB) is checked but not highlighted. WinSCP shortcut on XP desktop can't find WinSCP.exe file. If WinScp Login screen appears, it stays on screen about 10 seconds and then dissapears. What could be the problem and what are the procedures for downloading and intial start? What files need to be downloaded and/or unzipped? Thanks.

Where did you downloaded WinSCP from? No file on WinSCP download page has 2.4MB! WinSCP 2.x executable in winscp2.exe, not winscp.exe. Please download instalation package from https://winscp.net/eng/download.php