@samrathal
Is your Windows server hosting a SFTP server that you can connect to? If not, I'd expect GetSFTP/FetchSFTP to fail to connect. If you can't reach your Windows file from command line on the server where NiFi resides, you are not going to be able to reach via a NiFi dataflow.
1. Setting up a windows share that you mount to your linux box would allow you to use ListFile and FetchFile processors.
2. Setting up an SFTP server on your Windows server would allow you to use ListSFTP and FetchSFTP processors.
3. Setting up SMB on your Windows server would allow you to use the ListSMB and FetchSMB processors.
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Thank you,
Matt