You have to change value of AutoYield Property to value false.
Here is example:
_VFP.AutoYield = .F.
thisform.sftp.HostName= 'your_hostname'
thisform.sftp.Login='your_login'
thisform.sftp.Password='your_password'
thisform.sftp.Blocking= .T.
thisform.sftp.Connect()
Although events are fired, you can just ignore them and check if error occurred during method execution.