Example for error handling with VBScript added:
https://winscp.net/eng/docs/library_com_wsh#vberror

I do not know myself. Will investigate and prepare some example.
Meanwhile this link might help:
https://stackoverflow.com/q/4999364/850848

I just used the new COM Library to connect to my router (Cisco/Linksys router with TomatoUSB firmware) and enable/disable its wireless radio. I needed to accomplish this without using a command-line interface and WinSCP's new COM Library did the trick. Thank you for this new and very powerful functionality.

set sessionOptions = WScript.CreateObject("WinSCP.SessionOptions")
with sessionOptions
.Protocol = 1 ' SCP
.HostName = "192.168.X.X"
.UserName = "myusername"
.Password = "mypassword"
.SshHostKey = "ssh-rsa 1024 xx:xx:xx:xx:xx:xx:xx:xx:xx:xx:xx:xx:xx:xx:xx:xx"
end with

set session = WScript.CreateObject("WinSCP.Session")
session.Open sessionOptions
session.ExecuteCommand("wl -i eth1 radio on")

VBScript does not offer try/catch so the existing error-handling examples for C#, VB.NET and JScript cannot be used for VBScript. I would appreciate it if you could provide an example of how to test for errors generated by the Session object when used in VBScript. For example, an error may arise after using its Open or ExecuteCommand methods.

I suspect SessionRemoteException is used but I'm not sure how.