I've used putty but don't remember if it has file receive, I think it does. Take a look in the menu and see if it has something like "receive Zmodem", "receive kermit", etc...
I'll give you two examples.
Assume here that your putty has "receive zmodem".
First while connected to the remote computer, type in the ssh terminal the command "sz yourfile.gz", then in putty activate "receive zmodem".
If the remote computer does not have sz, but does have kermit installed, then start kermit on the remote computer, type "fast" command and hit enter followed by the "send yourfile.gz". Then in putty start the "receive kermit".
If all else fails, you could uuencode the .gz file, cat it to stdout, and use putty to capture the console text to a file. Then after the cat is complete you can hand edit the capture file to remove the leading and trailing junk and uudecode the .gz file back out. I hope you don't have to do that, but it does work.