you should try and check out the settings of the ftp software you're using first.
then, make sure your username and password are correct. case sensitive stuff there (depending on the server).
don't use windows explorer. this one just never works sometimes. go download sometime like smartftp from smartftp.com .. it works very well.
oh and, make sure your server settings are right
this is very important. that might be the real problem as it sometimes is in a lot of cases