I downloaded a trial copy of AbsoluteTelnet to try. It logs on OK, but when I click the sftp button the GUI pops up and then instantly goes away. Am I missing something?

Steve, If you're using OpenSSH server, the most common cause of this is shell output from your .profile, .bashrc or .cshrc. Here is section 2.9 of the OpenSSH faq <link no longer available> :

2.9 - sftp/scp fails at connection, but ssh is OK. sftp and/or scp may fail at connection time if you have shell initialization (.profile, .bashrc, .cshrc, etc) which produces output for non-interactive sessions. This output confuses the sftp/scp client. You can verify if your shell is doing this by executing: ssh yourhost /usr/bin/true If the above command produces any output, then you need to modify your shell initialization.

Report back here if you are able to identify the problem.