I've installed the latest version, 3.7.6 of WinSCP, and i've been reading around the FAQ and seems that it is possible to edit multiple files in a 1 instance editor (tabs etc).
I'm using the Notepad++ editor. I've tried checking the special case flag in the options for external editor and im still getting the pop-up message that the file closed too soon. Notepad++ also has a command line switch to allow multiple instances, I've added this to the call but it doesn't seem to work either. However the switch does work in standard windows shortcut.