You need to enable the unsupported SSH server on the ESXi box

Then using the pscp utility that comes with PuTTY add -scp to the command line because the default sftp doesn't work.

Here is an example of copying a file off the ESXi server from the command line of a Windows 7 box

C:\Users\rupert>pscp -scp [email protected]:/sbin/vmbackup.sh Desktop/
[email protected]'s password:
vmbackup.sh               | 2 kB |   2.5 kB/s | ETA: 00:00:00 | 100%