Files on local directory - copying / accessing

I would like to copy files from server to my local directory.

While logging into server through WinSCP, I got a prompt for granting FULL ACCESS to LOCAL FILES but unfortunately I clicked on NO ACCESS and NEVER REMIND!!
Thus, I am now unable to copy files to my local directory.

I would be grateful if someone could help me changing this permission/granting access.
This is very critical to me as I need to access the files from local drive quite often.

I'm sorry, but I have no idea what kind of prompt you mean. It looks like you have some access control system on your machine. It's possibly not related to WinSCP at all.