For example, like Windows COPY "source" "target"?
or is it two steps?
Use get to download to current directory
Then do a copy to move to another location on my computer?
You should be able to specify the path along with the local file name (see here) for Get. If that doesn't work you may have to first change your local working directory using the LCD command, and then use Get with or without just a local file name (no path).
Often times, lcd doesnt work (Based on experience) I would recommend before starting the FTP session to change it
When opening CMD Prompt we would typically be displayed with C:> -this is your LCD To change just simply type: D:\MYfolder\placehere
Make sure the directory exist THen, we can start FTP ^_^