When installing the tool, the WinSCP.com file does not generate in the directory

I need to gain access to an SFTP folder through SQL Server. The routine asks me to reference the WinSCP.com file, but it is not generated when I download the tool.

You have known file extensions hidden in Windows File Explorer (that's by default). So you do not see the .com extension.
The WinSCP.com is the WinSCP file with Tipo=Aplicativo do MS-DOS.