You can connect to CDF using SSH (secure shell). This allows you to log into your account without a graphical interface. This is particularly useful to accomplish tasks such as setting your password, resetting KDE (ex: run kdedefaults ), or quickly reading your email using "alpine". SSH is also useful for transfering your files using an SFTP program.
To use SSH from a windows machine you need to use an SSH client. Openssh lists a number of clients HERE.
At CDF we have had the best experience using Putty.
Alternative proprietary programs are available for free download, such as Tunnelier, which includes a file transfer client.