This is a very typical problem of many FTP users. The question is actually answered in our FAQ. However, it might be worth reading some more info, you can easily search on Google for Passive FTP to get some more info. Below is one page I just searched.
Please note any firewall, router, anti-virus software, network security software almost always block Active FTP. So please use Passive FTP whenever possible. You can search for open source Passive FTP command-line tools if you need command-line FTP. The default Windows command-line FTP doesn't work. However, if you don't need command-line, then Windows Explorer (My Computer, not Internet Explorer) actually works fine. In Windows Explorer, please enter the address: