SFTP logic File Already Exists

Good day all,
I'm a novice user so I appologize in advance. I am trying to write a script that will check one windows directory for a file name (example u0731130.dat) before it tries to download a file (example ub04073113.dat) to a different windows directory. It will run through all the files in a specific directory and then quit.
I have been able to make a script that that connects, browses to the folder on the ftp server and download anything in there to the windows directory that I am currently in when I run winSCP. But, that is it. Any help would be greatly appreciated.

If I understand it correctly, you are missing the part to check for existence of the a local file to trigger the WinSCP script.
Such task is out of scope of this forum. Please ask elsewhere, for example on https://superuser.com/

Not outside the winSCP script, but in it. When the script fires off it connects to a site, changes folders and downloads all thats in the folder. What I want it to do is look before it downloads. I think that is inside the script.

Why don't you check before you run the script?
You probably do not share some constraints with us.
Anyway, if you insist on your approach, I recommend you to use WinSCP .NET assembly from PowerShell script:
https://winscp.net/eng/docs/library
https://winscp.net/eng/docs/library_powershell
https://winscp.net/eng/docs/library_session_getfiles#powershell