On the help page there is very very old image and there is no connected with the last version of WinSCP.
I need EXACTLY step by step where is this option.
What you have posted is a screenshot of the "Preferences" dialog.You find the screen by clicking Advanced button on the Login dialog and going to the Connection page.
Ctrl+N), select your stored site, click Edit, and then Advanced. Go to the Connection page.
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