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ftp, File Transfer Protocol, is the primary protocol used to move files from one computer to another on the Internet. A common use today is uploading edited Web-page files to an ISP Web server, which would normally involve logging in to the server with username and password.
You can transfer files with ftp using your Web browser, but you'll have a lot more control with an actual ftp client.
FileZilla is a user-friendly open-source cross-platform ftp client. FileZilla runs on 32-bit Windows (NT4/2000/XP) Mac OS X, Linux, and other platforms. In the Site Manager, you can define a particular address as the default site, and connect with a keystroke. For each site you can define default local and remote directories. You can transfer multiple files by selecting them and right-clicking. See also the FileZilla home page with screenshots and the FileZilla Wiki, especially the Using page.
One of FileZilla's install options is unsecure mode (remembers passwords) vs. secure mode (enter password each time). If you have multiple users on your PC, I recommend secure mode.
WS ftp ("Winsock ftp") is very easy to use. It lets you keep a list of ftp sites you connect to, and you can have it remember a subdirectory on each site you visit, and go straight to that directory the next time you connect. "Anonymous" login is handled for you automatically, once you put in your email address. You can view index files, select multiple files to transfer by clicking on their filenames, and then start the transfer by clicking on one button.
CuteFTP is an interesting ftp client for Windows and Mac, and yes, I'd have to say "cute" is fair.
WS ftp and CuteFTP both used to have free versions, but no more. If you want a freeware ftp client you can go with FileZilla, above; or WS ftp LE through version 6 is available free for individual use on OldVersion.com. See also the Wikipedia article Comparison of FTP clients.
Windows 95 and later comes with its own undocumented command line (text-mode) ftp client, which you run from a DOS prompt. It's very similar to command-line ftp on Unix. I found a text-mode ftp help page which covers Windows ftp. While it's nice to know it's there, WS ftp or any graphical ftp client has it beat for user friendliness.
Interarchy for Mac OS X, formerly Anarchie, started out as a combination Archie and FTP client for Macintosh. Archie was the old search tool for anonymous FTP servers; it's pretty much defunct now.