If you are having trouble logging in try using the "Login As..." command on the 'File' menu.

Once you are logged in:

To quickly save a file locally, right-click the file and select "Save Target As..."

To manage the files more completely, click the 'Page' menu button on the right-hand side of the IE 7 browser window and select the option, "Open FTP Site in Windows Explorer" you can then drag-n-drop the files from remote FTP server to local file system easily.