When I try downloading a file from my server onto my computer, it actually downloads the file onto the server.
(Note I am already SSH\'d into my server before typing
try this scp -r -P2222 kwazy@mywebsite.com:/home2/kwazy/www/utrecht-connected.nl /Desktop
Another easier option if you're going to be pulling files left and right is to just use an SFTP client like WinSCP. Then you're not typing out 100 characters every time you want to pull something, just drag and drop.
Edit: Just noticed /Desktop probably isn't where you're looking to download the file to. Should be something like C:\Users\you\Desktop