As @Hesham Eraqi suggested, it worked for me in this way (transfering from Ubuntu to Windows (I tried to add a comment in that answer but because of reputation, I couldn't)):
pscp -v -r -P 53670 [email protected]:/data/genetic_map/sample/P2_283/* \\Desktop-mojbd3n\d\cc_01-1940_data\
where:
-v
: show verbose messages.
-r
: copy directories recursively.
-P
: connect to specified port.
53670
: the port number to connect the Ubuntu server.
\\Desktop-mojbd3n\d\genetic_map_data\
: I needed to transfer to an external HDD, thus I had to give permissions of sharing to this device.