Most likely a firewall issue. Please talk to your server or network administrator. Unless you are able to copy files with any other FTP client and it's only WinSCP that has the problem. If you need further help, please post a session log file (a log from the other client, if it works, would be useful too).

I can't copy files from external server to desktop. I get the message:

Het kopiëren van bestanden vanaf de externe computer is mislukt.
Unable to build data connection: Operation not permitted

Any idea?