Are you sure your target path should be in Windows-style (starting with "C:" )? Most of SFTP servers use an unix-like virtual filesystem without drive letters. If your SFTP server has a physical root directory "C:\Sftp_Root", then the virtual path should be "/" and your upload command should be:
sftp.Upload(@"F:\BFAPPS\*.zip", "/")
If your SFTP server really accepts (and needs) a physical path like "C:\Sftp_Root", please connect to that server with another SFTP client software (e.g. Filezilla) and send us a communication log from that software.