I want to upload movie and mp3 to iPhone directly by Winscp, not by iTune, can i do that? which directory does iPhone save movie and mp3 files?

You can't do that unfortunately. Everything has to be written to the iTunes database file in /Library in order to be viewed by the phone. You can't mod the file manually because it contains a hash which has to match the contents of the file. There are tools on Linux that can do it.