but you also need password. When you were setting up SSH on N900 at some point you had to enter some password. That password you need to enter beside user name in winscp.
I'm using filezilla on ubuntu and everything went fine at very first attempt. I also set up fixed IP for my N900 and make a bookmark in filezilla so SSH is just a click away.

edit:

And of course, you have to turn SSH on on your N900. Either with applet (install separately) in your status bar or via terminal.