WinForm SFTP client (and Rebex SFTP component) is supposed to be used to connect to a third-party SFTP/SSH server. The user name and password are credentials to use to authenticate to the specified server.
a) If you need to connect to an existing SFTP server, ask its administrator for the user name and password to use.
b) If you don't have any SFTP server yet, you will have to install and configure one - at that point, user accounts would be created (or configured) as well.