File transfer is available with 3 types of connections: RDP, Screen-sharing and VNC.
1. For the RDP connection, Clipboard is enabled by default. Which means you can copy-paste files between two screens.
2. When screen-sharing is running, right click on the remote connection frame and choose > File transfer
The file transfer dialogue will open and then you can choose and transfer files.
3. For XP machines, VNC File transfer is available: