These are some free software packages that I find useful.

• cygwin: A Linux-like environment on a Windows machine. Even if you don't care about Linux, it provides a nice SSH/SFTP server for Windows machines, and LaTeX.
• PuTTY: SSH encrypted telnet client.
• Shred 2: A file shredder.
• WinSCP: SSH encrypted ftp client.
• Weka: A Java machine learning / data mining toolkit.