WinSCP actually has this option already: Edit > Edit With:
https://winscp.net/eng/docs/task_edit
https://winscp.net/tracker/291

Right click -> open system menu -> your done

ikr i really want to open something with winrar and this looks complecated but i think u can open it using putty

You can configure as many external editors as you like. Please read documentation.

It would have been nice to have an "Open With..." option from the menu coming up when right-clicking a file. Like in Windows Explorer. Normally I like to open my files with Notepad, just to view them. But when I'm into more heavy edit stuff of different html- and php-files, I like to open the files in e.g. HTMLKit.

To be able to choose editor/viewer from an Open With... option would since be nice. Maybe in release 4.0.1?

Regards, Mårten Berglund, Sweden.