How to download a folder containing multiple files on an ftp server to a desktop?

1. Open an Explorer window. Click on the Start menu, then select My Computer.

2. Type the ftp url in the the address bar. For example:

   ftp://mirror.anl.gov/pub/ubuntu
   

3. If a login is necessary, a dialog box will appear.
4. A listing of all directories and files of the server will appear.
5. Copy the files just as you would with a normal folder.

FTP protocol doesn't support directory download. Most FTP clients (AFAIK, not including standard command line tools "ftp") allow to download directories by getting their listing recursively and downloading files one by one automatically.

There is a plenty of different clients. For instance, filezilla - free and open source.