Server's Host Key is not Cached in the Registry

Hello - I'm attempting to make an SFTP connection and I'm getting a message that says..The server's host key is not cached in the Registry. You have no guarantee that teh server is the computer you think it is. If you turst this host, press Yes. To connect without adding host key to cache, press No. To abandon the connection, press Cancel.

Is this normal? How do I cache the server's host key in my client's :) registry?

Thanks.

Yes this is normal.
See https://winscp.net/eng/docs/message_host_key