Please read documentation
https://winscp.net/eng/docs/ui_login#edit

Also I have added request to allow editing of opened session to the tracker:
https://winscp.net/tracker/799

Thanks for the answer I have been waiting for.
But I can't find a login window somewhere in menu of the already opened WinSCP after login, only before logging in, and when I then want to save the setting, it wants to create a NEW login, instead of saving the one I merely wanted to modify...
I am sorry, but so it isn't clear to me!
How can I modify an already existing login?

Enable Remember last used directory:
https://winscp.net/eng/docs/ui_login_directories

How do I make WinSCP save the settings on exit so that I don't have to open my folders anew after each start?
I didn't find a way to make it save on exit and the documentation is quite unsatisfactory since even if I enter search words like "save exit" and the like, it finds nothing!!