Lost Connection Error Message

What error does WinSCP generate if in the middle of a file transfer and the target server goes down? I need to enter in some kind of error handling into my script if this happens.

There's no simple answer for this. Depend of protocol you are using, depends on how the error is detected/interpreted by any piece of networking equipment on the way, on network layer of your Windows machine, on Windows system itself, etc. There can be at least dozen different error messages.