I wonder if this might help. Compress your file using zip/tar utilities and then You can use scp to transfer those files on to your local machine. In case you prefer GUI tools you can also use WinSCP (a Windows GUI based client) to transfer your files.
scp your_username@remotevps.com:backup.zip /some/local/directory
To zip directory called pics in your home directory (/home/you/pics), type the following command:
zip -r backup.zip /home/you/pics/
Using tar:
tar -zcvf archive-name.tar.gz directory-name
Explanation:
-z: Compress archive using gzip program
-c: Create archive
-v: Verbose i.e display progress while creating archive
-f: Archive File name