Naveen,
FTP/SFTP is the best mechanism to be used to transfer the file from server to client.
2- I have also see other way of doing that using third party tools/external software but not sure if you can use that in your network.
3- Yes you can open the prt on windows:-
http://www.maxpcsecure.com/support/spywaredetector/allow_FTP_Port.htm
HTH
Regards
Inayath