If your downloaded WinSCP install ever throws this error, and you cannot find the cause on the WinSCP forums, then this is probably the reason:
The caption of the error message should be enough: Windows thinks it is a 16-bit MS-DOS program, not a Windows installer.
This means that the install download went wrong. In my case, I downloaded it through this wget command:
wget -m -np http://winscp.net/download/winscp552setup.exe
At first I thought that WinSCP has a referrer check, so this is the command that would work (similar to wget direct download with referer: SpeedFan):
wget -m -np --referer=http://winscp.net/eng/download.php http://winscp.net/download/winscp552setup.exe