@Ravikumar Kumashi the scp command is missing the port number (please notice that the "usage" text was returned by the command, which means the syntax was incorrect). Please try specifying 2222 after the -P switch.
Yes, you have to run the the scp command from Windows, not the virtual machine. Windows does not natively offer the ability to scp, so trying to scp from the virtual machine to Windows will not work. Windows also does not have an SCP command by default. You must install WinSCP or PSCP (via PuTTY) to get access to an SCP command.
@Ravikumar Kumashi yes, that is correct, you want to run the command from your local machine since that is where the file lives that you are scp'ing over to the sandbox. You can invoke via Cygwin or you can use pscp (from the makers of Putty) and run pscp from the Windows command line.
Make sure your VM is up and sshd is running and listening on port 2222: sudo netstat -anp | grep sshd
Make sure no firewall rules are getting in the way.
If confirmed, try using 127.0.0.1 instead of localhost and if that doesn't work try editing your hosts file so that sandbox.hortonworks.com resolves to 127.0.0.1 and then use the FQDN sandbox.hortonworks.com instead of localhost.