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