No - as shipped by D-Link there is no CLI on the DNS-321.
Since you are moving the files around with Windows explorer, then yes, they are being transferred to your computer and then back to the DNS-321.
Large frames - I assume you mean jumbo frame - you don't mention anything about your network, but for jumbo frame to work you have to have gigabit ethernet and the network switch and the computer at the other end of the transfer will need to support jumbo frame.
With jumbo frame you could see as much as 50% increase in throughput - but you are only likely to see this onlarge files, if you're transferring a few thousand smaller files, it's unlikely to have a signficant improvement.