Once you have all of this set up, and press Start Tunnel, you will have an SSH connection and tunnel running to the Windows box on the other end.
Another option is to run the Java version of VNC Viewer from TightVNC. My limited testing showed that it was an acceptable alternative. Unfortunately, the VNC application on the Mac that everyone talks about, Chicken of the VNC, doesn't work in my setup. I get a rectangle encoding error when connecting to my remote host.
Another promising way to copy files is by using MacFusion. MacFusion lets you mount a virtual disk on your OSX system and interact with the volume like any other disk. You need to install MacFUSE first, in order to use MacFusion. In the future, I'd probably go with MacFusion and JellyFiSSH, but I was never able to get MacFusion to successfully mount the volume (Error message: "The folder "xyz" could not be opened because you do not have sufficient access privileges.". The credential information I entered was the same as for Fugu and other SSH connections that I have used in the past, so that doesn't make a lot of sense. The log files were less than helpful on the Mac and Windows side, too. On the Mac side, it simply reports "failed to detect remote user ID", and the Windows side didn't show anything in the Event Viewer, despite numerous setting changes in the Local Policy application).
Disclaimer The opinions expressed herein are my own personal opinions and do not represent my employer's view in any way.