FTP (File Transfer Protocol) is a method used to transfer files between your computer and the web server. FTP is usually performed via an FTP Client, which connects to the FTP server and allows you to either upload or download files to/from the server.
Below are some common FTP clients.
Mac FTP clients: CyberDuck (free), Fetch, Transmit, etc.
Windows FTP clients: CoreFTP (free and paid versions), TangoFTP, FileZilla (free), WS FTP, etc.