The easiest way is simple copying (Ctrl+C) then pasting (Ctrl+V) files or folders.
How to move files and folders via Remote Desktop Connection
In case you constanly wish to move files or folders then you can mount (share) the drives of your phisical PC to your VPS.
Open Remote Desktop Connection then click on the Show Options button.
Click on the Local Resourcces tab then on the More… button
Choose the necessary drives by clicking the checkbox next to them.
The drives of your physical PC appear on your VPS. You can move files and folders as usual.