IF its a machine right in front of you, and the files are also local, you can use Windows explorer to move the files.
IF the files are on a remote host, and you wish to move them to your local machine's XAMPP folders, then install FileZilla client (if it is not already installed) and make the local folder you wish to install in (presumably something under htdocs) your destination and DL from the 'old server'. Remember about ASCII mode on .php files.
Good Luck