I was having trouble remembering how to place the backslashes
when I was trying to scp some files from my pictures directory
on a windows box on my network. When I finally did remember, I
figured it'd be a good idea to put it down for myself and anyone
else who has the same problem. I placed the word at between the
user and the winbox so it won't appear as an email link in a
browser, but you get the idea. It's supposed to be the @ symbol.
Also, your setup might be different than mine. I'm running
cygwin on the windows box, hence the "cygdrive" in the path. 

scp user at winbox:'/cygdrive/c/Documents\ and\ Settings/user/My\ Documents/My\ Pictures/file1' path_to_save

When sending a file to the windoze box, to keep from getting the message:

scp:ambiguous target

I have to use the following command:

scp filetosend user at winbox:'/cygdrive/c/Documents\ and\ Settings/user/My\ Documents/My\ Pictures/'