ESXi is very limited and does not support sftp... but it does scp (subset of SSH).
putty.zip also contains pscp http://www.chiark.greenend.org.uk/~sgtatham/putty/download.html
pscp -v -P 22 -scp putty.zip email@example.com:/tmp
Prompted for a password and works...
Uploads putty.zip from the current directory into /tmp in 10.10.10.248
Afterwards SSH in and mv the file.
EDIT Configuration -> Software -> Licensed Features -> ESX Server License Type = Edit...
Assign a new license key to this host -> Enter key Enter the key you got by registering an Email Address with Vmware.com
Now you're more limited in what you can do =)
NOTE: the ESXi license works on an ESX install CD, but it appears that ESX install CD contains SFTP ability while ESXi does not...