rssh is a restrictive shell to allow only scp and sftp commands for a user. It works when using sftp and scp from the command line, but fails to work using WinSCP2. It seems as if there is something the shell doesn't allow WinSCP2 to do, so it breaks right logging in.
What does work is using scponly, a similar restrictive shell that even mentions WinSCP2 compatibility as a feature :)
WinSCP requires some other commands in addition to SCP. See requirements for list. SCPonly shell supports all of them (or at least most important of them). I don't know which commands are supported by rssh. If you can, please post the seession log.