SFTP is an FTP protocol that uses encryption over the wire. So, yes you'll need to have an FTP server running to use FTP. However, WinSCP also can use SCP which only needs an ssh server running, which it sounds like you already do, in order to log into the Pi. Instead of using SFTP, log into the Pi with WinSCP, make sure the protocol is set to SCP, and use the standard SSH port, 22. Then, you should be able to browse the remote machine and drag 'n drop the files over to your local computer.
The other option is to just do a direct copy/paste from a terminal like putty, just cat the file to the terminal and copy/paste to notepad or the like. That's how I usually do a quick copy of a log or a conf file.
root@allstar:/home/smiller# cat /etc/asterisk/rpt.conf
will print the rpt configuration file out to the terminal, and I just copy/paste it to notepad. If the file has a lot of lines in it, you may exceed the terminal buffer and cut off a chunk of the file, so copying it using SCP may be easier at that point.
Screenshot of the WinSCP login window attached.