Microsoft Skydrive implements a file transfer interface that is neither WebDAV nor ftp. So the usual WebDAV and ftp clients like CyberDuck won't work.
Microsoft Office 2013
Microsoft Office 2013 client programs on Windows 8 can file open / save directly to Skydrive. In the File Save and File Open dialogs, you can nominate one or more Skydrive accounts to connect to. There is an app called Skydrive Pro but this syncs between your PC and Sharepoint.
Windows 8 has a Tile App called Skydrive. However, this app is locked to your Windows 8 username / account which may not be your preferred Skydrive account. That is, you might have more than one account and your Windows 8 account on Skydrive may not be the one you want to reach.
Internet Explorer / Web Browser
Using your Web Browser, you can connect to any of your Skydrive accounts and upload / download files. However unlike Google's Drive via Google Chrome browser, you cannot upload a folder - you have to create each folder and individually tag each of the files in a bulk file upload.
SD Explorer is a third party program that extends Windows Explorer - your Skydrive folders and files virtually appear, cached. You can drag and drop local files to and from your Skydrive content.
Use Google Chrome Browser. The other web browsers suffer handicaps. Using the web browser interface you can upload and download files and folders. Multiple files on Google Drive will be downloaded as a single compressed .zip file At the time of upload be careful to nominate that the files not to be converted to Google Docs format if you want to preserve the Microsoft Office refinements. Documents converted to Google Docs format do not count to your Google Drive quota limits, are editable by Google Docs in the web browser however.
Cyberduck is a third party Windows or Mac desktop client that offers FTP, WebDAV and Google Drive connectivity.
Google Drive desktop app
The Google Drive desktop app for Windows will synchronise a local folder nest that you nominate with the Google Drive. It runs in the background and appears as an icon on the system tray.