WinSCP is usable without any installation on Router- Side (Transfer is quite slow because of the USB2.0 Interface of the Router). Installing an FTP- Server could be a possibility !? If you have to copy / move many files - just unplug the external HardDisk and connect it directly to your PC --> Current HardDrives handle more than 100 Mbyte/s via USB3.0 Interface.
Windows itself has no built-in tools to transfer the files from the Router -> except FTP, NFS and SMB (installation is needed on router-side)
The External HardDisk is ext3/ext4 formatted? No problem, just start an Linux Live System from a USB3.0 Stick and copy the files to the NTFS Formatted Windows Disk.