See https://winscp.net/eng/docs/rawsettings#proxymethod
The easiest is to have WinSCP GUI generate a script template for you:
https://winscp.net/eng/docs/ui_generateurl#script

The firewall works like a proxy with a password.

Yes, we can connect to the server through the firewall in WinSCP GUI.

Sorry, but that's vague.

How the authentication to the firewall works? Is it like a proxy? Or an SSH jump server? Or something else?

Can you connect to the server through the firewall in WinSCP GUI? Or in any other SFTP client? How do you do it?

Is it possible to use two Authentications?
The Problem is that we need to Authenticate us first at the firewall and then to SFTP Server.

The Command works fine.

This is only the Connection to the SFTP server but before we can connect to the SFTP Server we need to Authenticate us at the firewall.