'Copy file from remote server to local machine in Postgres

I cannot figure out how I can copy a remote server file as a CSV file on my local machine (windows). I have tried

\copy mytable TO 'C:/pg/mytable.csv' CSV DELIMITER ','

It shows the following error

ERROR:  syntax error at or near "\"
LINE 1: \copy ar_gp_psap TO 'C:\WazeData\WordDocs\ReportMatrix\mytab...
        ^
SQL state: 42601

postgresql csv pgadmin-4

Sources

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Solution	Source