I use the command "Open in PuTTY" in WinSCP. A PuTTY window pops up, but I cannot find a way to scp files from Linux back to Windows using terminal command line in PuTTY. Do you guys think this is possible?
From you comment, it looks like that you actually mean terminal or shell by "putty command line". From remote shell you cannot transfer files back to your local Windows machine, unless you are running a server there too. Like SSH/SFTP server, e.g. OpenSSH.