Remove Master password does not work!

Old answer:
Remove Configuration\Security key in configuration. If you are using Registry storage for configuration, remove

[HKEY_CURRENT_USER\Software\Martin Prikryl\WinSCP 2\Configuration\Security]

Also remove all Password values for sessions. - What does That mean and How-To?

Forgotten Master Password
When you forget your master password, there is no way to recover it, nor the protected passwords.

You can at least reset WinSCP back to unprotected state. Naturally, you lose all the protected passwords.

To reset master password, remove Configuration\Security configuration section/key.

You also need to remove all protected passwords. For this, search for and remove all Password, ProxyPasswordEnc and TunnelPassword values from configuration subsections/subkeys of Sessions section/key. Alternatively, if you are going to set a new master password: While doing that WinSCP will prompt you for previous master password once for every lost password. Just cancel those prompts with Esc.