Download the SSH application (for workstations) from the UW. Once the software is installed, open up the application.
If you want to be able to see above your home directory (if you want to be able to copy a file from lab or someone else's home directory, for instance), then you should open the file transfer settings window. From the 'Edit' pulldown menu choose Settings. On the left side will be a file directory tree. Click on 'File Transfer' and you will see the following window:

Check the box 'Show Root Directory'.
Click ok. Note that you have to click ok before you switch to change another settings menu.
You may also want to check the 'Backspace sends Delete' checkbox, under Profile Settings-->keyboard, so that the backspace key works properly.
Now you need to click on the 'Connection' heading in file directory tree. The right side of the window has now changed. You can fill in the host name and user name, if you want, but the important thing to verify is that under Encryption Algorithm you see <Cipher List>. If it says something else, then choose <Cipher List> from the pulldown menu.
If you wish to have a terminal, than under the menu Window, click 'New Terminal' (you can also do this after you connect). You can create a profile to create a shortcut to a machine or click 'Quick Connect'. If you click 'Quick Connect', the following window will pop up:

Enter the machine you wish to connect to and your username, and click 'Connect'. Another window may come up that allows you to save this connection by adding a profile. Give the connection a name (any name that lets you know which machine you will be connecting to). You are now connected, and you have both a terminal window and a graphical scp, so that you can run applications and see all of your files on the remote machine.
Note that if you want to use graphical applications (such as matlab in graphical mode or with plotting), you will have to have an Xserver running on your window machine. For details on how to do this please see the help page.
If you don't need a graphical scp client, then a simple way to go is to download Putty. You just need putty.exe. There are no configuration changes necessary for a basic connection.
In the configuration window, click on Session, and type the name of the machine you would like to connect to in the Host Name box. Now check the SSH button below it as shown:

Click on connect and you will be up and rolling. You can now save this session so that next time when you connect you just have to click on the name of the machine in the saved sessions window, and click load to connect.