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In Windows I use WinSCP. How can I do this?

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You can also use xdav via a command like https://[your xdav server]

Alternatively I recommend Expandrive which works quite transparently as a mounted disc. (The only issue if the disc is large is the possible indexation by Spotlight)

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It sounds like you're using (S)FTP to connect to your server. Finder doesn't support SFTP and supports read-only access for FTP. You can use Terminal and the command line SFTP client, or you'll need to use a 3rd party app like Cyberduck or Transmit to connect via FTP or SFTP.

The Finder supports AFP, SMB (Windows file sharing), NFS, VNC, and probably a few others I'm forgetting via the Connect to Server window.

Details on supported protocols can be found in Finder Help

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Connect to Server does support FTP. – Alex Aug 22 '12 at 1:58
SSH file transfer protocols are SCP or SFTP, which (last I knew) are all that WinSCP supports. Hence the name, Windows Secure Copy. But you're right, The Finder will do standard FTP. – Jason Salaz Sep 20 '12 at 7:57
@Alex Finder does read-only FTP. You can use the command line sftp client – Jason S Mar 13 '15 at 20:01

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