Without going in to too much detail... not all FTP servers behave in standard ways. There's a feature called "Passive Mode" that some support, some don't and some insist on, and that can play havoc with file transfers. It's probably their fault, not yours.
Have a look here for details on how to tweak IE to
use Passive mode or not:
http://support.microsoft.com/kb/323446 - see if that helps.