Well, you must have an SFTP server. If you don't want to use a production server or the server is not under your complete control, you can install local SSH/SFTP server.
The most obvious (but not simple) choice is OpenSSH server. You can download it's port for Windows from copSSH page. OpenSSH is free and relatively easy to configure (remember to read the manuals!!!).
Another option is take some commercial SSH or FTP server (ensure that they include support for SFTP).
We strongly discourage use of FreeSSHd, which has bugs in SSH protocol compliance, and those bugs can confuse you, making you think that it's SecureBlackbox that doesn't function properly.
