There is currently no standard way of doing this, so we would recommend one of the following:
Use a source control system like Git or SVN to merge the changes from Linux and Windows
Use SmarTTY to download the entire source folder or individual files from your Linux machine
Add a custom shortcut via VisualGDB Project properties to download the source folder and then use the VisualGDB toolbar to invoke it quickly (requires Custom or Ultimate edition)
If the file is on Windows machine in a directory specified as the source directory via VisualGDB Project Properties, VisualGDB will transfer it automatically.
If not, please double-check the name and location of the file and your current file transfer settings.