You must specify (click on More… as shown in the image above) that your local drives (on the controlling computer) show up in Windows Explorer on the remote PC. With Windows-to-Windows connections, file transfer is possible, even if the method is not immediately obvious.
For that, I suggest an online storage service such as Dropbox or the like. As mentioned up top, there are clients for just about all operating systems and devices, though they don’t generally offer file transfer. RDC offers basic remote desktop control and very good scaling of the remote interface. Microsoft Remote Desktop Connection: Features Password security is basically your only defense against hacking. As the default port is well-known, and open to the world. Caveat: If you use direct-connect remote control software such as RDC, it’s essential that you use a very strong password.