using xming to save a file from a lnux computer to a windows computer

I have seen similar questions on here but I have not been able to find an answer that works for me. I am using Xming to interact with a Linux computer, and I want to save a PDF stored on that computer to my windows computer. How do I do this? Do I use scp? If so, what do I use as the host computer, my windows or the Linux? If anyone could provide an example that would be great.