When using remote access, it is convenient to use text-based browsers like lynx instead of hogging bandwidth with X over ssh. When you want to save files like pdfs, hit the d key (instead of enter or g) when the link to the pdf is highlighted. Then you can retrieve it from the remote machine using sftp. The putty suite also has an sftp client. Winscp is also available if you want a gui and don't mind file transfers being slower.
Edit: The Putty suite's PSFTP seems to be as slow as WinScp - commandline on Linux is still faster.
Edit: See this post for improving speed on Windows!