SFTP is a SSH File Transfer Protocol (also called Secure File Transfer Protocol ) provide more security as opposed to plain FTP connections assuming the underlying protocol secures the connection.  Typically the port used is 22. SFTP file transfer protocol is part of SSH protocol suite.More information about SFTP is available here.

You DO NOT need install additional ftp server software(eg, proftpd, pure-ftpd) if you want use SFTP to transfer files. This means you can save memory and get more security by use SFTP. Now, 

How to connect to SFTP? How to access SFTP?

SFTP with FileZilla (other sftp client software is similar to this )

First, download FileZilla Client and install the program on your local workstation. Once installed and launched, you can click "File -> Site Manager -> New Site" to create a SFTP connection session.

Then click Connect button. Choose trust this host if you see below alert.

Done