Total commander
Total commander allows this and a whole lot more. WinSCP is a PIA after having used Total Commander.
I'd like to move files on the same server and can do so with the 1 open window, but can I have 2 paneles open (source and destination) without having 2 sessions?
scp bob@bob.smith.server.com:/home/bob/myfile alice@alicesrestaurant.hostco.net:/home/alice
scp
process on local serves as a conduit between the two remote servers. WinSCP should be able to do the same.