Drag and drop through Remote Desktop Connection

An RDP session is not a valid Drag source in Windows (yet?), so copy and paste is the fastest way.

I usually hit ctrl-c and ctrl-v for copy and paste anyway, as personally I find it quicker than drag and drop, plus you don't get stuck waiting for imaginary transfers like when you copy something and then hit right-click to try and paste it between sessions.

Copying and pasting in and out of RDP is slower (transfer time-wise) than copying via a (VPN) share or FTP or HTTP, so I'll usually use one of those for large files, which keeps my cut & paste available for other tasks while it's copying.

Another option is VNC, including TightVNC, which is free, allows you to log into the desktop like RDP, and includes a file transfer button.