I don’t understand what Darksavior said because i don’t have any idea of using Raspberry commands to do things.
To all you guys who recommended me Filezilla:
This is the result using client and its the same with both protocols (FTP and SFTP). I even used Filezilla server in my desperation.
I deleted everything and started from zero. I installed the retropie 3.6 img in my raspberry pi 3, connected to same Wi-Fi in raspberry and PC and installed diferent progams in the pc to transfer files, one by one. Filezilla dont connect, WinSCP dont connect.
The same results happen if my Raspberry is off, so it looks its not connected to Wi-Fi, weird thing because I was able of downloading themes and look at the 3rd image, it’s already set. What im doing wrong?