Can I connect to my Linux server using "Go > Connect to Server"? In Windows I use WinSCP. How can I do this?
It sounds like you're using (S)FTP to connect to your server. Finder doesn't support SFTP and supports read-only access for FTP. You can use Terminal and the command line SFTP client, or you'll need to use a 3rd party app like Cyberduck or Transmit to connect via FTP or SFTP.

The Finder supports AFP, SMB (Windows file sharing), NFS, VNC, and probably a few others I'm forgetting via the Connect to Server window.

Details on supported protocols can be found in Finder Help