The Bureau: XCOM Declassified

The first sectopod you will encounter is during the Rosemont mission. It is accompanied by a few other enemies, but I ignored them to concentrate on the bigger threat.

Although sectopods have exhaust vents on their back which are vulnerable to damage, I found it impossible to take advantage of them during this mission. Instead, I found it easiest to shelter where you start after the sectopod's cutscene. Use Lift to stop the sectopod once it gets to optimal range and pour as much fire into the sectopod's cockpit glass as you can. Use mines, grenades and critical shot if you have them available. When the glass eventually shatters, it will expose the pilot who is very vulnerable to damage. Continue firing on him until the sectopod is destroyed.

If the sectopod moves around to the side of the stairs, take cover against the side walls behind you. The sectopod doesn't seem to climb the stairs, so you'll be safe there, although you may need to move your companions around so they don't get killed.

As a general tip for fighting sectopods later in the game, the Recon soldier's Diversion ability is VERY handy for getting sectopods to turn around and expose their vents.

NB. The above advice is based on my Commander run-through. I managed to defeat the sectopod without grenades on that difficulty. The sectopod may be significantly more forgiving on lower difficulties.

EDIT: Tatakai no kami indicates in the comments that the sectopod did climb the stairs for him, so it's at least possible. That shouldn't change the solution overall, but it certainly makes things a little harder.