In the documentation, I cannot see any API. This is the application, not a library. That means, using it as a library cannot be productive. (Do you really understand the difference?)
Please see by yourself:http://en.wikipedia.org/wiki/WinSCP
However, as this is an open-source product, you can extract the code you need and try to use it in your code. But remember, this is C++, so you might need to 1) translate the code into .NET and VB.NET; 2) create a .NET wrapper of it using P/Invoke, or 3) create a .NET wrapper of it using C++/CLI. Are you familiar with any of these technologies or are you willing to learn them? If you are a novice, it won't be very easy task.
You could be more successful if you try to find some pure .NET library for SFTP, which is quite possible:http://bit.ly/NcJ4y0