I ran into this issue last night as I was trying to transfer over files with WinSCP. First off, if you are familiar with ESXi, you know there is no service console by default and you are given the bare bones version of ESX unless you purchase the upgrade for ESXi. If you are using this for home use then ESXi (free) is more than enough. Personally I run ESXi 3.5 Update 4 (free) and for firewall issues I just have a VM running pfSense with no problems. If you ever want to transfer over files or VMDKs to a VMFS lun/disk you need to enable SSH to use WinSCP.

Here is how its done:
1. At the start up screen (Management Console) press ALT+F1 and a console screen will come up
2. Type unsupported (you will not see the text) and press Enter
3. You'll see "Technical Support Mode" and a prompt for a password; simply type in your root password
4. If everything is successful you will be given a shell "#"
5. Type in vi /etc/inetd.conf
6. The config file will come up on the screen and now just scroll down until you see "#SSH"
7. Press the "Insert" button on your keyboard and remove the # (This will uncomment the function)
8. Now press "ESC" button and type :wq (this will write and quit your editing session)
9. Now type in ps -a | grep inetd (this will find the process for inetd)
10. You should see the PID for "busybox"/"inetd" (the number will be different for everyone)
11. Type kill (and the PID number from the last step) and this will stop the inetd process
12. Type cd /etc
13. Type ./services.sh restart (this will restart the management services)
14. Now perform a clean reboot of your ESXi machine by typing ALT+F2 to get back to the management screen
15. Press F12 to shutdown/restart and restart (wait for you machine to come back up)
16. Now you should be able to log in with SSH (putty) and SCP (WinSCP)