[windows] Copy Files from Remote RDP to Local Machine

Is there a way I can launch a RDP session to a remote Windows server, and perform a file transfer to the local computer? Versions of the remote Windows Server varies. Ranges anywhere from 2000 to 2008.

I've tried to look up solutions and it seems scattered everywhere. Some suggest using mstsc.exe, others suggest PowerShell / Java / ASP Net. I'm confused. Appreciate some guidance here.

Thanks!

Update Below: 17 Feb 2012

Thanks for all suggestions. Would like to add that the remote servers are securely locked down and I'm not allowed to install SSH servers, FTP servers, or shared drives. The only way for accessing the remote machine is through RDP, and these machines are also on separate VLANs to which only authorised users can use RDP to access these machines. I'm trying to create a script that can help authorised users to download the required files.