SFTP Upload To Azure Linux VM

I'm new to Azure, and have just created an Ubuntu VM. I can SSH into the VM fine, but I can't connect via SFTP to upload files to the VM. I get the following error when I try:

I/O Error: Connection failed
Could not parse response code.
Server Reply: SSH-2.0-OpenSSH_6.1p1 Debian-4.

Anyone able to suggest what I should do?