1) There is no need for a traditional FTP server daemon, only the SSH already running on the server for your SSH logins. This means less server resources are used and there's more juice available for your games.
2) SCP and sFTP are secure protocols: no one will be able to sniff your data in the middle of the connection, and everything uploaded, downloaded, edited, etc, is all completely secure.
So let's get down to it: How to Login to WinSCP to Manage Your Server
Step 1) If you haven't already, you must download and install WinSCP. Go to this page and under the downloads section, grab the Installation Package (advanced users are welcome to grab the portable executables if they're comfortable!). Download this file and run the installer.
Step 2) Open up WinSCP. The installer should have created a shortcut on your desktop and/or start menu.

Step 3) On your first time running, you'll see a screen like the one below.

WinSCP needs to know where you want to connect. In the first box, Host name, you're going to enter the hostname for your server that was sent to you when the server was set up. The hostname will be in the form of YourKeyServerNum.atpdevelopment.com, so for example, my first server at ATP Host would have a hostname of Airjoe1.atpdevelopment.com, and that is what I put in the host name box.
The port number box should say 22, do not change it. If it says something other than 22, change it to 22. For username and password, use the username and password emailed to you when the server was set up, or if you have changed your password, use your new password. Leave the private key file box blank, and set the File Protocol to SFTP, and make sure the "Allow SCP fallback" box is checked.
Finally, hit the save button so you won't have to do this every time. It will ask you what to call the session (the default name is fine, but call it whatever you want). If you'd like, tick the box to save your password.
Step 4) You should now see the sessions window, like the one below:

Just click on your session and hit the Login button at the bottom of the screen. You may get a little "Warning" popup with some jibberish about a host key and such- hit Yes, this is the public key for your server, you will only have to hit Yes the first time.
Step 5) You're now logged in to the server through sFTP. On the left side of the window is your local computer and files, and on the right side is the server. Using WinSCP from here is like any FTP program: you can drag and drop from one side to the other, you can right click on folders to rename or delete them, create folders, change permissions, and much much more. I'll continue this tutorial with how to properly upload your game.
Step 6) So now you want to actually put your game on the server. First, on the right window, double click on the "hostgames" folder to enter that directory. Now, on the left side, look for the game you'd like to upload. Drag this folder from the left side to the right side, and wait for the upload to finish.
Step 7) Now, right click on the new folder that was just uploaded, and choose "Properties". A little properties box will open, and towards the bottom you will see a permissions section with a lot of check boxes and a text field. In the text field, enter the number 0777 (Note: if you are on a shared Alpha server, you must enter the number sent with your intial setup email). Lastly, check the bottom checkbox that says "Set group,owner, and permissions recursively"

Step 8) You're all set! The game will now show up in the web panel and you can host it.
WinSCP is a great tool with a small learning curve. Once you know the basics, you have a great control over your server and files. If you need any help with WinSCP, don't hesitate to ask.