If you haven't already, download one (or, what the heck, both) of these programs from the ECS launchpad (or their respective official sites). WinSCP is a standalone executable file, which means you can run it as soon as it's finished downloading. FileZilla requires installation, which means you need to execute the file you download, then execute the actual program once it's finished installing. (It might take a minute or two to install.)
If you're using WinSCP, you should see something like this:
To log in to the Engineering web server, for example, enter “www.engr.uky.edu” in the “Host name” field, and your engineering e-mail userid and password in the “User name” and “Password” fields. Make sure the “Port number” says ”22” (that should be the default); any of the “Protocol” values should work, so you should be able to leave that one alone. If everything looks good, press “Login”. (Or, if you want to save yourself some trouble next time, press “Save” to save the session, then log in. Then, next time you log in, it'll show up in the “Stored sessions” part of the dialog.)
Once you're logged in, you should see a window like:
The left-hand pane is your local computer; the right-hand one is the remote computer. Navigate the left-hand pane into the folder where your files are, and the right-hand one to the folder where you want to put them. (If you're putting them onto the engineering web server, you want to put them in the “public_html” folder.) You can click-and-drag files from one side to the other to copy them; if you get a dialog box asking what you want to do with them, click on “Copy”.
Sometimes you can also double-click on files to copy them, but sometimes double-clicking them causes them to open, instead. This is a preference that can be set, somewhere deep in the “Options” menu. (Look for “drag-and-drop” and “double-click” items.)
FileZilla is pretty much the same, except that it looks a bit different:
The “Address:” field replaces the “Protocol” and “Host name” fields that WinSCP wanted; use “sftp://” as a prefix to the hostname to tell FileZilla to use the “SFTP” protocol. For the engineering web server, for example, use “sftp://www.engr.uky.edu”. Fill in the “User” and “Password” fields, and press “Quickconnect”. (After the first time you use FileZilla, you can click on the arrow next to “Quickconnect” to get a list of saved sessions. It seems to save the last 10 sites you connected to.)
As in WinSCP, the left-hand pane is the local site (divided into a folder-tree section and a folder-contents section), and the right-hand pane is the remote site. Above that is a status-message window, and below everything is a window for the transfer queue.
Navigate the respective panes until you find the files you wish to transfer, and the folder you wish to put them in. Then highlight them (shift-click or control-click to select multiple files) and drag them from one side to the other to transfer them. (FileZilla can transfer multiple files at once, to work a little faster. By default, it will use up to two connections; this can be changed in the Preferences, but it's probably not useful to try to use more than about 4 connections at a time.)
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