I was wondering if it was possible to access the resources of the very terminal I use to ssh to the Linux box!!!?

I am working on an MS Windows or something and using putty to ssh to a linux box, now I want to access some file on this machine which I am using to run ssh client. Like If I use ftp then I have a command like lcd (chaned local working directory) so that I can see directories on the client system. Is there any such way while using ssh, how does WinSCP works anyhow??!? How to access the devices on host running the ssh client.