sftp commands

Hello,
     I have just started using sftp to access and download data that I collect
at a remote site. The few commands I know seem to be of minimal help. mget
will download specific files, but the data are stored in a series of folders,
the names and structures of which are important in processing the data. mget
will not let me download a folder/directory. Is there a command that will
allow me to do this? Otherwise, I have to recreate the folder structure for
each data set and download the files to those folders, a tedious process.
     I know little of windows and less of unix, so forgive my ignorance. I
will say that, for the little I know, the process of installing ssh and
getting it up and running went quite smoothly. Thanks a lot.

Dave

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