For Windows:

Connect to the databse:

cmd

psql -d db_name -U postgres

Copy the file in hex format as Grzegorz Szpetkowski showed

psql

\copy (SELECT encode(file, 'hex') FROM files WHERE id = 1) TO 'D:\file.hex'

Convert to the desired format

cmd

cd /d d:
certutil -decodehex file.hex file.jpg