What shell does the VPS use? bash?
Assuming several things you did not mention, I am guessing the VPS disk is not mounted on your PC as some disk named like D:
You can probably use ftp to copy, you can also get puTTy, pscp for your PC free.
See:
http://www.putty.org/
pscp is your best choice. It works like the
cp command in UNIX or the
copy command in windows. You run it on your PC.
So, what I am saying: you need other stuff on your PC to do what you want. You cannot run things on the VPS without FIRST allowing windows a way to talk to the VPS. This is by far the least complicated.