If you are logged into your Centos box and running the cmd there, its saying there is no ssh daemon/service running (listening) on the MS box (possibly also the firewall on the MS box is blocking that cxn on port 22).
OTOH, if you are on the Centos box, you don't need 'root@...' part.
If you are on the MS box, cd to c:\testing and try
scp firstname.lastname@example.org:/root/Desktop/iptables.txt .
although allowing remote root access is frowned upon for security reasons.
On MS cmd line I usually use pscp, part of Putty https://secure.wikimedia.org/wikipedia/en/wiki/PuTTY
Again, if it says no such service, check sshd is running on Centos and check iptables (firewall)