Dude,
Is your hosting on linux or MS?
When you ftp in, do you start in a home directory like / or /www?
When you log on via ftp, the prompt box should scroll through some things after password is accepted. Amongst this is usually some idication of the system OS.
Unix systems us a file called .httaccess that's invisable in the main directory (that / or /www). You won't see it in your ftp window but it's there.
There are great tutorials on .htaccess on the net that will show you how to add one line to the file that will do exactly this.
you can create a file called htaccess.txt, add the code you want to it, then upload it and rename it to .htaccess via ftp.
Here's a semi-fictional example from my site of what the file should look like:
the first line deal with how to interpret php files and the other lines define the error pages (ie a custom 404 error page).
adding lines of code into this will tell the system whom to allow access to. You can define it by IP address or referer.