To run a command against the local machine, use ! before the command. So to see the local current directory on a window machine use !cd (since CD by itself on windows reports the current directory). To see the directory listing of the current directory use !dir instead (which would also show what the current directory path is along with the directory contents).
For graphical SFTP programs, there is WinSCP as mentioned by Slobo, as well as Filezilla. There may be others since most FTP programs probably have started including SFTP support along with normal FTP support (and SCP as well quite possibly).