SFTP Connection from a Virtual Machine

Hi -

I'm relatively new to Azure.  All I need to do is connect to another location and pull down some csv files.  I do an RDP connection to the VM and if I go to the command prompt I can connect to FTP - but not SFTP.  Everywhere I've looked online talks about setting up SFTP as a server.

I do not need to send any files out - just pull down two tiny csv files on a daily basis.  This should be dead easy but I seem to be getting nowhere.

I've created a VM and added FTP and SSH endpoints (perhaps I don't need to do this).  Any wisdom on this would be greatly appreciated.

Many thanks,

- Rich