You may follow the following steps (the screen shots are done by using the Filezilla software).

Create a log on account on your FTP client software :

You have to provide Host Name, User ID and Password information.
Moreover, if you are using a firewall, please fill required information in the Advanced section.

The connection being successful, you can download files :

 The left side is your present computer. Select the directory in which you want to save the downloaded files.
The right side is the remote server. Enter the corresponding directory and select the files you want to download.
Then use the mouse to start downloading the selected files.