EDIT: I just saw that you're using Windows. You'll need something like Cygwin to emulate the Unix toolkit on Windows. Alternatively, you could use something like WinSCP.
As alexus pointed out, SCP is a great option. Another option is Unix/Linux's rsync (available on almost all Unix-based machines). It's a utility that's frequently used for back-ups.
For transferring between two servers, abc.com and xyz.com:
rsync -avzPe ssh firstname.lastname@example.org:/source/ /destination/on/abc
A more practical example:
rsync -avzPe ssh email@example.com:~/public_html/ ~/public_html/
A few notes: The above example assumes you're logged into server abc.com. If you desire to go the other way, switch the arguments. The user (admin in this case) also needs to have appropriate SSH access. Finally, the flags that I used aren't necessarily the only ones that will work, they're just ones that I tend to use. You can technically do without -v and -P, you'll just see less useful console output.