No need for batches etc. This is a built-in-function of Launchy.
From the Launchy documentation:

Launchy allows you to add additional command line parameters onto your
queries. Simply hit tab once you have found the application you are interested
in and then enter them.

And from the WinSCP documentation:

Parameters for winscp.exe executable: winscp.exe stored_session
To open session, stored in folder, use path syntax "folder/session"

So just hit the shortcut for Launchy, type the characters that make WinSCP appear (that's "win" in my case), hit TAB and enter your session name, hit return and you're done.
e.g.
win <TAB> mysites/foo

I know I'm digging up an old thread, but came across this looking up this subject matter. So if it helps anyone, this can be done just by leveraging winscp's command line options.

Create a batch file (I named mine scp.bat) with something like the following:

"C:\Program Files (x86)\WinSCP\WinSCP.exe" %*

Have launchy catalog the batch file. And then you can just do:
scp <TAB> 192.168.0.1
scp <TAB> my_saved_session

etc.

Hm, one would expect that such trivial behavior would work without plugin. Anyway, I'm sorry, but I'm not going to maintain another plugin.

it would be nice if it worked like putty's launchy plugin where as part of launchy you can directly open a session
[launchy prompt]ssh mywebserver

and you dirtectly have a terminal to 'mywebserver' which is a saved session

so wincp

[launchy prompt]winscp mywebsite.com

and im launching wincp directly into mywebsite

What should the plugin do?

Would be awesome to see a launchy plugin :)

For anyone who doesnt know what launch is...if you like to code/program and not have to use your mouse much (if at all) this could save you a billion clicks http://www.launchy.net/

It's similar to quicksilver for a mac