On Windows you can use a desktop SFTP client like WinSCP or FileZilla, or a browser-based SFTP client that needs no installation. A browser client is ideal on locked-down or shared Windows machines where you can't install software.
WinSCP is a long-standing Windows-only SFTP/SCP client. FileZilla is cross-platform and also runs on Windows. Both require installation and admin rights to update.
FlowSetu's online SFTP client runs in any browser on Windows. There is nothing to install, it works without admin rights, and credentials are cleared when your session ends.
You can try all of this without installing anything using FlowSetu's free online SFTP client.
Try the free online SFTP client — connect to any SFTP server from your browser, no install required.