Putty uploads and downloads files between windows and Linux through a proxy

Putty can be set on the Proxy screen, but psftp does not have the option of proxy settings. How to upload and download files through the proxy?

Under windows
1. Save the putty target server as session
2. cmd to the root directory of putty
3. psftp -load session name
4. lcd to the directory where the file is to be transferred in the window, and cd to the target directory of the remote linux
5. The put command uploads , get command to download