Very simple really, using ssh connection and grabbing a single file to the current directory
scp user@server.com:/home/your-site/www/mysql-backup.sql.gz .
To desktop
scp user@server.com:/home/your-site/www/mysql-backup.sql.gz ~/Desktop/
Syncing a whole folder and it’s permissions
-R is recursive
-p is keeping intact the permissions, structures, creation times etc.
scp -pR user@server.com:/home/your-site/www/mysql-backup.sql.gz ~/Desktop/