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
If your server have a http service you can compress your directory and download the compressed file.
Compress:
tar -zcvf archive-name.tar.gz -C directory-name .
Download throught your browser:
http://the-server-ip/archive-name.tar.gz
If you don't have direct access to the server ip, do a ssh tunnel throught putty, and forward the 80 port in some local port, and you can download the file.