You can create a custom command that will prompt for the path:
https://winscp.net/eng/docs/custom_command
See the !?prompt[\]?default! pattern.
For more user friendly results (but also more difficult to implement), implement a WinSCP extension:
https://winscp.net/eng/docs/extension

I'm trying to compare 2 remote files in different dircetories. I'm selecting one file, and want to prompt for the other file, to the automatically be downloaded to a temporary folder, before opening beyond compare and comparing the 2 files.

This works easily when the files/dircetories share a parent, but is it possible to prompt for the second remote file in this way?