How to create desktop drop link?

Is it possible to create a shortcut on my local PC linking to a target folder on the remote PC such that any local file I drop on the shortcut will be copied to that target folder on the remote PC?

Yes, just use these arguments:

sftp://username:password@hostname/remote/path/ /upload

(optionaly /default)

References:
https://winscp.net/eng/docs/integration#icons
https://winscp.net/eng/docs/commandline#operations