How is what done? downloading from an ftp site or setting up your own site?
Downloading can be as easy as typing the ftp address into your browser.
There are several programs designed for up and downloading to ftp sites.
As for setting up your own site, that can be a complicated process. If you have an ISP that allows for FTP on their site then they would provide the directions. They would provide most of the security and you need to only designate who has access.
The biggest thing about ftp sites is setting them up so they are secure and don't become a hacker's playground. You need to set upload and download permissions, access permissions and make sure your system itself is secure. The way to set it up is different on different OS. Most ftp sites probably use linux(unix), but OSX for mac is fairly easy to set up and some versions of Windows are also capable of running
ftp.
If you are setting up ftp on your own computer you will also have to set your firewall to allow access.