I cannot answer your questions, as they are more about Wine than about WinSCP.
I also do not speak German.
But did you try clicking the "Ignorieren"?
I doubt the shell extension works on Wine anyway.
Hah, It's simple, Installer can't register dll, so you need an admin rights to register it (I don't remember how, you may need to use older version of wine, google this). Or simply use portable WinSCP.