I use the following procedure:
1) use plink to create the tar file
2) use pscp to transfer the file

# Create tar file on ESX host

$datastore = <DS-name>
$User = <ESX-account>
$Pswd = <ESX-password>
$Computer = <ESX-hostname>
$plink = "<Putty directory>\plink.exe"
$plinkoptions = " -v -batch -pw $Pswd"
$cmd1 = 'find /vmfs/volumes/' + $datastore + '/ -name "*.vmx" -print0 | xargs -0 tar -uvf ~/transfer.tar'

$remoteCommand = '"' + $cmd1 + '"'
$command = $plink + " " + $plinkoptions + " " + $User + "@" + $computer + " " + $remoteCommand

$msg = Invoke-Expression -command $command 

# Transfer tar file to local station

$pscp = "<Putty directory>\pscp.exe"
$pscpoptions = "-pw $Pswd"
$lcmd = $pscp + " " + $pscpoptions + " " + $User + "@" + $computer + ":/home/" + $User + "/transfer.tar" + " " + "C:\transfer.tar"

$msg = Invoke-Expression -command $lcmd

See Script to pull log files from ESX hosts for details on how to set up the sudo part on the ESX server side.