Help with ftp

I am no wiz when it comes to the technical ending of ftp and downloading roms. I have been attemting to download some playstation roms. The link in the ftp to cuteftp didn't install right, so i downloaded the latest version, which is different from the one used in the guide...i would like some help in how to download those files with the latest version of cuteftp, is there a right click setting i have to enable? if so where is it?

Any assistance on this, or just a process on how best to download those playstation files would be appreciated, thanks.