You will need to download psftp from here:
http://www.chiark.greenend.org.uk/~sgtatham/putty/download.html
Next, create a batchfile called download.bat or whatever you like
psftp -b download.scr -pw yourpwd user@yoursite.com
Where yourpwd is your ftp password and user is your ftp user for yoursite.com
now create a file called download.scr (this is an ftp script file)
cd /path_to_your_file/server_file
lcd e:\downloads\server_file
get server_file
quit
where /path_to_your_file/ is the location where the file is at, server_file is the file you want to download. I download to a directory on my e: drive called downloads so change that to whatever you want too.
The next stage is to use windows scheduler to run the download.bat file everyday. Obviously, doing so each day will overwrite the previous downloaded files. You can use a more comprehensive batch file to rotate the last 10 files or so. Let me know and I'll post that too.