FTP Programs—WS_FTP Setup
'Options' Button, Window Tabs:
'Session Properties' Window (comes up when you click 'Connect') tabs: General Startup Advanced Firewall
You can download a free version of WS_ftp here. The download should start soon after you get to the page, it's automatic. WS FTP LE is getting hard to find in its free version, IPSwitch has moved to a pure pay model called WS_FTP Home, but it's way too expensive at $35 for the home version.
Once you have downloaded the program, you can start going through the configuration pages.
If you go through these windows and make sure your settings are the same as these, except of course for where your computer's or website's information is different, you should have no trouble transfering files with this programs on Windows.