copying an entire directory?

I have a question, I need to transfer one single directory containing some 1000 files that is on a virtual site (I have no ssh access or anything to tar it and such) and I want to move it to my VPS which I do have vps for (and ssh access of course). Now I am unfamilar with linux ftp'ing and whatnot and I doubt there is a "drag and drop" function to do this easily, so is there any command that can transfer a directory containing files easily?

 

 

 

 

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