You need

1. Atari - Zmodem software & HSMODEM v7.
2. win95 - Zmodem software ( I use the one which came with Win95, HyperTerminal ).
3. A NULL-modem Serial cable.
4. Optional: A TV set ( to relieve some boredom while waiting for the file transfer)

8 Easy steps to follow:
 

Step 1		Connect up the cable  between Atari & PC.
Step 2	Atari	Install HSModem
Step 3	Atari	Configure RS-232 port to max port speed.
Step 4	Atari	Run Zmodem software on your Atari to receive file. (with -rz )
Step 5	Win95	Run Hyper Terminal & open the comms port.
Step 6	Win95	Configure RS-232 to max port speed.
Step 7	Win95	Select transfer files using Zmodem, select your files to transfer.
Step 8		Watch TV while waiting for file transfer to complete.

Misc settings

• Configure RS-232 port to 110 on Atari for 115200 bps when using HSMODEM.
• On Zmodem, you may need to
  • disable carrier detect ( -D).
  • increase receive & file buffer size (-b 16384 -F 5M).
  • disable multitasking on Atari to maximize response.

Last notes
On my system, Falcon ( 16MHz, 14MB ), I can achieve a transfer rate of over 10K bytes/seconds.
This makes it possible to transfer one Megabyte of data in about 1.5 minutes.