I'm not sure what you are missing.
Set the SshHostKeyFingerprint property to the value of the fingerprint
(though I assume you know that part).

I have read the FAQ and found my hostkey through a ssh command prompt. What do I do with the key after I found it? How do I set it up correctly in the sessionoptions. It keeps returning an error.

Please read FAQ:
https://winscp.net/eng/docs/faq_hostkey

Hi Friends,

I have written code to copy files from FTP Path to Local path but I am unable to get SshHostKey. Kindly suggest me how to get host key. I used portable Winscp.exe to transfer files. Thanks in advance. :)

Thanks & Regards,
Saravana