How do I use PSCP.EXE? When I double-click it gives me a command prompt window which then closes instantly.

PuTTY

A.6.8 How do I use PSCP.EXE? When I double-click it gives me a command prompt window which then closes instantly.

PSCP is a command-line application, not a GUI application. If you run it without arguments, it will simply print a help message and terminate.

To use PSCP properly, run it from a Command Prompt window. See chapter 5 in the documentation for more details.