I've been using your WinSCP .NET assembly with much success until today where I decided to be adventurous. :-) I wanted to have only one copy of WinSCP stored on my machine. I have multiple applications that references and make use of WINSCP.exe.
All my apps have their own copies of WinSCP.exe in their directories and everything works fine.
I decided to delete all the WinSCP.exe's from the app directories and use the Session.ExecutablePath property to find that one installed executable.
The result is now downloaded files get stored in the Program Files/Winscp directory and not the default directory of the app.
I'm using the latest 5.7.1.