SFTP - Connecting with Zlib compression?

What do I need to do to enable Zlib compression within WinSCP? I'd like to test whether the SFTP server I'm connecting to supports Zlib compression or not.

Full context:
When connecting to the SFTP server with a Java application, I'm getting the error

Caused by: com.jcraft.jsch.JSchException: Algorithm negotiation fail

When connecting with WinSCP I'm not able to reproduce the error. I'd like to investigate whether the difference is the compression algorithm the clients are using.

See "Enable compression" at:
https://winscp.net/eng/docs/ui_login_ssh

Though, I'm sure your Java problem is not about ZLib.

Check the JSch log. See also my answer to:
JSch Algorithm negotiation fail