In the remote view, drag the files into the local side of the program, not onto your desktop.
Some FTP clients allow you to drag files to a physical location on your harddisk, not Flash.
Navigate to the directory you want to download to with the local browser.
There is an option to toggle from remote to a local view on either side. So on the side of the program that isn't connected to the site, hit the toggle button and it'll show you a local tree view.
hope that helps.
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