At last for me cygdrive didnt make it. When I have created that directory, WinSCP says
Error changing directory to "cygdrive".
A directory called cygdriv works as normal.
Changing directory to "cygdrive".
Type: SSH_FXP_REALPATH, Size: 18, Number: 4368
Type: SSH_FXP_NAME, Size: 39, Number: 4368
Type: SSH_FXP_OPENDIR, Size: 18, Number: 4619
Type: SSH_FXP_HANDLE, Size: 13, Number: 4619
Type: SSH_FXP_CLOSE, Size: 13, Number: 4868
Type: SSH_FXP_STATUS, Size: 29, Number: 4868
Error status: 2, Message: 4868, Server: No such file, Language: ?
Create /cygdrive/ directory on your HD. Read this