What's wrong with sharing folders?

Because if one of the machines got infected with a worm/virus/trojan then the other one would quickly get infected (because they would have write access to shares on each other's machines).

Graphical drag and drop Windows SCP client:

http://winscp.vse.cz/eng/

Details on installing Cygwin and making the SCP server work on Windows:

http://tech.erdelynet.com/cygwin-sshd.html