OK. I've got it. Was using an older version (4.1.7). Downloaded the latest (4.3.3) and used this command:
winscp.com /command "open sftp://user:pass@site" "get file.csv ""C:\Documents and Settings\username\My Documents\inbox\file_download\file.csv"""
winscp.com /command "open sftp://user:pass@site" "get file.csv ""C:\Documents and Settings\username\My Documents\inbox\file_download\file.csv"""