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SFTP, short for "secure file transfer protocol," lets you copy data to and from a server. There are many programs that use SFTP.
From a Unix command line
You can launch an interactive SFTP session by typing
sftp [your user name]@[server name]
Once you're connected, you'll be able to navigate around your local machine and the WSO server using variants of the standard Unix commands (i.e. use cd to change directories on the remote machine, lcd to change directories on your local machine, ls to list the contents of a remote directory, lls to list the contents of a local directory, etc). Typing "help" will get you a complete list of recognized sftp commands (along with descriptions).
Downloadable graphical applications
WinSCP is a free SFTP client for Windows that can be downloaded from winscp.net.
Fugu is a free SFTP client for Mac OS X that can be downloaded from UMichigan. Most SFTP clients have a two panel inteface. The left panel represents your local computer and the right panel is the remote machine. Find the file you want to backup in the left panel and drag it to where you want to store it on the right panel. You can do this for multiple files at once by highlighting more than one file in the left panel.
A second popular SFTP application for Mac OS X is Cyberduck, which is available as a free download from Apple. Cyberduck supports a single panel interface that might be appealing to some users. It also supports a variety of other protocols beyond SFTP.
For Linux, you can use gFTP, which works the same way. Just make sure to select SSH2 in the dropdown menu.
If you'd like to use a graphical SFTP client but are using a machine that prohibits you from downloading and installing applications, WSO hosts a Java based SFTP web applet that can be run from any Java enabled system. Visit WSO jftp help for more information.