Instead of CopSSH you can install Cygwin. This yields you additional utilities, allowing you to configure your Windows machine more UNIX-like

With a full Cygwin environment you can be sure you can update to the latest OpenSSH version. My experience with 3rd party OpenSSH servers is that they are not kept up to date, or are abandoned. Also, you won't get conflicts with different cygwin.dll.

You can also use RDP (over SSH) instead of VNC. RDP is pretty efficient. I use NX (over SSH) and can use RDP/VNC from there (VNC for Mac).

VNC was made for on LANs. Not Internet. RDP and NX also have other advantages such as Sound, Printer, File Sharing support. And RDP server runs even when you are not logged in (as service).

SSHFS is neat, but I don't remember if it supports locking, nor do I remember about its efficiency. If your connection gets b0rked your shell will hang.

If you have the bandwidth, which by the sounds of it you do, simply set up a VPN (using e.g. OpenVPN) and call it a night. Everything will work as if you are on LAN. Downside is that there isn't an OpenVPN client for Symbian so I had to set up IPsec as well. [...]

You could use SSH, wget the torrent, and have e.g. rTorrent (or uTorrent, Vuze) watch ~/Desktop then there is no GUI required. Requires less bandwidth.