Ah ok, it's easy as pie. You'll need to download a program called winscp,
http://winscp.net/eng/index.php. This will allow you to connect to the SSH server running on your iPhone. Simply download it and run, use the following settings:
Host name: This is the IP address of your iPhone (find through Settings > Wireless)
Port number: Leave as 22
User name: root
Password: alpine
Lastly change the File Protocol to SCP.
Login!
This will connect to your iPhone, left panel being your local machine and the right panel being your iPhone. Simply drag and drop. A few people have connection problems but mine worked like a charm. If you have programs like Services.ap or BossPrefs.ap on your iPhone make sure SSH is enabled.
Good luck