Hello Willie,
It sounds as though you are using passive FTP when you should be using active FTP. With active FTP, only ports 20 and 21 are used on the server; however, there can be issues if the client is behind a firewall because the server uses port 20 to connect back to the client for data transfers. In passive FTP, the client connects to port 21 on the server, tells it PASV, then the FTP server tells the client an unprivileged port that the client connects to on the server (1024+, not 20). I think this is what is upsetting your firewall software. I hope this helps you out.
Jeremiah Cox
Applications Engineer
National Instruments
http://www.ni.com/ask