If you have a UNIX-like OS running, chances are it is already equipped with tools that allows you to copy files across computers.
scp (secure copy) is the tool that allows you to copy files utilizing ssh (secure shell) connection. The connection is encrypted and is the recommended way to copy files between computers. It uses the port 22 by default.
If your local machine where you want to copy files to is a Unix-like OS (linux, OSX, BSD etc.) enter the following command:
scp username@remotehostname:/remote_dir/file-to-copy.txt /local/dir/
If your local machine OS is Microsoft Windows, then you can download and use pscp.exe. Below is the command to copy file from remote host to your local machine.
pscp.exe username@remotehostname:/remote_dir/file-to-copy.txt C:\Temp