Step 1: Install a FIle Manager in Bluestacks like ES Explorer.
Step 2: Copy files that you want to send to Windows in BlueStacks in this path: sdcard > bstFolder > BstSharedFolder
Step 3: In your Windows Explorer go to this path: C:\ProgramData\BlueStacks\UserData\SharedFolder
NOTE: You can do it the other way as well to send a file from Windows to Bluestacks.
Step 2: Copy files that you want to send to Windows in BlueStacks in this path: sdcard > bstFolder > BstSharedFolder
Step 3: In your Windows Explorer go to this path: C:\ProgramData\BlueStacks\UserData\SharedFolder
NOTE: You can do it the other way as well to send a file from Windows to Bluestacks.