SftpDrive for Windows is pretty slick. Similar to SSHFS for Linux, it lets you mount remote files systems from any server that you connect to via SSH.
Since you can actually mount a remote drive over SSH, not only is the connection reasonably secure, you can also use files on the remote system just like they were local files - similar to connecting a regular shared drive on a remote Windows system.
A great cross-platform advantage of this tool is that, as the company's literature states, "If you can SSH to a server, you can map \[that connection\] as an SFTP drive."
SftpDrive, from Magnetk LLC, costs $39 for a one-user license with discounts for multiple users.