If you want to create new connection profile/site, select New Site in the tree on the left:
https://winscp.net/eng/data/media/screenshots/login.png
https://winscp.net/eng/docs/ui_login#new_site
If you want to change the protocol of your existing stored site, press the Edit button:
https://winscp.net/eng/docs/ui_login#edit
https://winscp.net/eng/data/media/screenshots/login.png
https://winscp.net/eng/docs/ui_login#new_site
If you want to change the protocol of your existing stored site, press the Edit button:
https://winscp.net/eng/docs/ui_login#edit