If copying to/from your desktop machine, use WinSCP, or if on Linux, Nautilus supports SCP via the Connect To Server option.
scp can only copy files to a machine running sshd, hence you need to run the client software on the remote machine from the one you are running scp on.
If copying on the command line, use:
# copy from local machine to remote machine scp localfile user@host:/path/to/whereyouwant/thefile
# copy from remote machine to local machine scp user@host:/path/to/remotefile localfile