I see this post is very old, but in my search for an answer to this very question, I was unable to unearth a solution from the vast internet super highway. I, therefore, hope I can contribute and help someone as they too find themselves stumbling for an answer. This simple, natural question does not seem to be documented anywhere.
On Windows 10 Pro connecting to Windows 10 Pro, both running OpenSSH (Windows version 7.7p1, LibreSSL 2.6.5), I was able to find a solution by trial and error. Though surprisingly simple, it took a while. I found the required syntax to be
BY EXAMPLE INSTEAD OF MORE OBSCURE AND INCOMPLETE TEMPLATES:
Transferring securely from a remote system to your local system:
scp user@remotehost:\D\mySrcCode\ProjectFooBar\somefile.cpp C:\myRepo\ProjectFooBar
or going the other way around:
scp C:\myRepo\ProjectFooBar\somefile.cpp user@remotehost:\D\mySrcCode\ProjectFooBar
I also found that if spaces are in the path, the quotations should begin following the remote host name:
scp user@remotehost:"\D\My Long Folder Name\somefile.cpp" C:\myRepo\SimplerNamerBro
Also, for your particular case, I echo what Cornel says:
On Windows, use backslash, at least at conventional command console.
Kind Regards. RocketCityElectromagnetics