Go to google, search for "putty", grab a copy of pscp.
pscp will save you the hassle of having to install all of cygwin in order to just use scp.
pscp/scp syntax:
scp user@host:file path/to/where/you/want/it
for instance:
scp
[email protected]:somedir/myfile.tar C:\
sftp is also an option if you have sftp-server installed (is common nowadays.)
SecureFX from vandyke would take care of that.
and finally, root@host won't work unless you have (at least in OpenSSH) PermitRootLogin set to 'yes'..
hit me up on an IM if you need more help.
-netpimp