In Windows I use WinSCP. How can I do this?
It sounds like you're using (S)FTP to connect to your server. Finder doesn't support SFTP and supports read-only access for FTP. You can use Terminal and the command line SFTP client, or you'll need to use a 3rd party app like Cyberduck or Transmit to connect via FTP or SFTP.
Details on supported protocols can be found in Finder Help