Can you give us more info about your environment? How are you running WinSCP? Is seems that you are connected to some remote system from within your web browser? Can you access the C: drive anyhow? Using Windows File Explorer? Show us a screenshot of that. Your WinSCP screenshot actually does not even show any attempt to access the C: drive. Is the C: drive missing from the drive drop down?
I didn't ask about installing WinSCP. I'm asking what the "https://remot..." window on your first screenshot is about? It looks like some kind of RDP connection. Is the Windows Explorer screenshot from the the same "RDP" connection? Or is it a local Explorer? Can you post a screenshots of WinSCP and Explorer side-by-side from same the environment?