WinSCP has nothing to do with .ssh. That's OpenSSH configuration directory.

Compare the public key you have received with the fingerprints of the keys you have received by email.
I do not know what exactly you have received, so it is hard to help you.
Did they acknowledge that they have changed the host key?
If they did, it is probably ok for you to just accept the warning (although actually comparing the fingerprints is the correct way indeed).

I received the attached warning when I launched WinSCP. I contacted FIS Global support and received an email with new RSA and SSH keys. I have never worked with WinSCP or RSA / SSH keys before, and need assistance applying the new keys. Due to the warning, I am unable to use any of the functions in WinSCP, as clicking Cancel closes the app. I do not find the .ssh subdirectory of the account home directory at C:\Users\sagert\.ssh

WinSCP version: 5.15.2
File Protocol: SFTP
Port 22
Version of Windows: Server 2016 version 1607
Scripting used: Yes