With MobaXTerm, you can:
You must download MobaXTerm. You don't have to install it, there is a portable version.

Session at the top of the window.SFTP to be presented with this window.
Remote host field, enter the IP address of your Recalbox, and in the Username field, enter root and click OK at the bottom.
recalboxroot and click OK. In the next window, you can ask to save the password to connect to this session.You will get a window asking you to create a master password. This will allow you to save all the connections made in MobaXTerm.

Once you are logged in once, the connection will be saved so you can easily log in later.
Once your connection is saved, you can create another connection to connect via SSH.
Duplicate session.Edit session.SSH.Specify username box and enter the same username (i.e. root), then click OK.
When you are connected via SFTP, you can see :
By default, you will be connected to the location /recalbox/share/system.