Connect to machine B through machine A

I can reach computer B only by first logging in to computer A with putty, and sshing to B.

I transfer my files from B by first transferring them to A (using the command line sftp), and downloading them from A with WinSCP.

Is it possible to reach computer B directly with WinSCP (through computer A), so that I wouldn't have to type so much in the command line to get my files? (Logging in to A, then to B, tar-gzip-ing the many small files, sftp back to A, then use WinSCP to reach A from home -- that's a lot of typing passwords and commands).

Use PuTTY to setup SSH tunnel.

Could you please point me to some website which explains how to do this (for someone who is not very familiar with computer networks)? Actually I suspected that it is possible, but I didn't manage to make it work ... (I searched on the net several times)

Thanks! After some more searching on the net I did manage to make it work :D

You were faster. Anyway, I've added this to FAQ.