If you have a working scp binary on your local machine and want to save a file locally, then you do:
scp user@remote:/path/to/file /destination/path
If you want to upload a local file to the remote, you switch the arguments to scp:
scp /source/path user@remote:/path/to/destination
where /destination/path is a valid, writeable and local path
scp
works just like cp
in this regard.
If you want to go full syntax overload you need a running openssh on your destination(localhost) host, then with it accepting connections to 127.0.0.1, it maybe possible to
scp user@remote:/path/to/file $USER@localhost:/destination/path
to get a file from remote
IMHO
But this is unnecessary. Perhaps impossible. scp
Needs only a valid path (i.e. without user@host) as either source or destination.
As the developer of WinSCP said in his comments, it may be overkill to install Cygwin for just transfering files. Perhaps you have a narrow usecase and do not want to use the commandline(?), then you could become quite happy with Filezilla or even WinSCP.
But as you ask for commandline help, I came to think you want to explore more of the challenges and possibilities of cli-Interfaces. If thats the case, Cygwin would be a suitable tool, not only for transfering files, but also for replacing Putty with a more powerful and versatile Toolbox.