PuTTY is a telnet client. It isn't used for file transfer. I assume you're using the PSFTP, the ftp client that is part of the PuTTY suite.
If that's the case, then to change local directories, use
lcd instead of
cd command is for changing directories on the linux computer you are connected to.
The easiest way to transfer files is with FTP. As it turns out, you don't need PuTTY or any other FTP client; Windows has built-in FTP support through Windows Explorer. Just type
ftp://firstname.lastname@example.org into the address bar (substituting the correct info, of course). Explorer should ask for a password and after you enter it, you should see the target computer just as if it were another drive on your PC. Just copy and paste the file as if you were making a copy on your hard drive. (There is a bug in some versions of Windows Explorer where, after you make a connection, it shows a blank directory. You can fix this by putting the focus back in the address bar and hitting the enter key without changing the address.)