If you are connected to a remote Microsoft Windows system from another Windows system via the Remote Desktop Protocol (RDP) using the Microsoft terminal services client provided by Microsoft with its Windows operating systems, mstsc.exe, you can copy and paste files from one system to the other as you would from one directory to another on one of the systems. E.g., if I want to copy a file from a remote Windows 11 system to my local Windows 11 system, I can select it in the Windows File Explorer on the remote system and then switch back to my local system and go to the directory where I want to place it using the File Explorer on that system and then hit Ctrl-V, i.e, the Ctrl and V keys, to paste the file into that directory. You can use the same technique to copy a directory, i.e., you can right click on the directory and choose "copy" and then switch to the other system and navigate in the File Explorer to where you wish to copy the directory and then and use the paste function, e.g. Ctrl-V to copy
I don't know how well the technique may work on very large files or directories, e.g., ones that are multiple gigabytes, but I've found it works well at least for those several megabytes in size. I also have not tested what happens if you try another copy and paste operation before the first one has completed.
Related:
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Transferring Files Via the Remote Desktop
Date: March 13, 2010