An FTP client is a piece of software you run on your computer that allows you to connect directly to your web server to manage files.
Most FTP clients will show your web server files in much the same way as files on your local computer, and in most cases you can think of your web server as another network drive.
You should be extremely carefull when using an FTP client as you are working on a live server. Any changes made are visible on the web site immediatly, and if you happen to delete the files then you will loose your web site.
There are many available and we are still evaluating different options before recommending one.