I have an Ubuntu Amazon EC2 instance and I am connecting through putty. I want to download a file from that machine to my local windows machine. How can I do it?
As Stone has suggested, you can use a Windows SCP tool to pull it from the Windows side. Or you could share the drive from the Windows side and use smbclient on the Ubuntu box to mount the windows file system, and push it from the linux side. Or you could use a USB stick.
Edit in the light of Alex's comments: he's probably right about smbclient, and the USB idea is silly (I missed the bit about the data centre). Putty also has an SCP implementation,