Sorry, that's unclear to me. I do not know what "file" they mean (in "stored server name in my file").

Don't they mean a hostname stored in your WinSCP stored site (on the Login dialog)? If your hostname has changed, just edit your stored site (or create a new one).
https://winscp.net/eng/docs/ui_login#edit

My hosting service changed the file transfer settings. Now I can't publish my website. They say the problem is not server side, but a stored server name in my file. I can't find anywhere where I've stored it. They've used my login details and confirm that they can log in, but I can't. Can someone help me find the error? Thanks.