How to SCP from Linux server to Windows client

I'm SSHing into a Linux machine using PuTTY and trying to copy a file down somewhere (anywhere) to my local machine. I figure SCP is the best candidate for the job but don't really care, so long as the solution works!

I cd to the directory containing the file I want (app.war) and type the following:

scp app.war ./

I've tried both to no avail:

scp app.war ./C:/Users/myUser/scp app.war ./Users/myUser/

It got me thinking that perhaps SCP is a client/server tool and requires a client on my Windows machine, which isn't there.

Am I just using the wrong syntax? Or am I way off-base? If so, what options do I have? Thanks in advance!