you mean these legit downloads?
http://www.stevecolemanarchives.com/...istechrono.htm
An FTP server will have an address like
ftp://ftp.adobe.com (you can try that one, it works). You can connect to it with your browser, and the folders and files available on the server will be displayed in your browser window. You can navigate the directories by clicking the links, and download a file with the right click "save as ..." command.
If you download from ftps mare often, it's worth using a FTP client, which has more elaborate functions, like a download queue etc.
Some servers require a username and password to enter. Most servers allow for anonymous access (enter "anonymous" as user and an email address (or anything) as password).
http://en.wikipedia.org/wiki/Ftp
The files of these live concerts could be MP3s or lossless files like APE or FLAC. You need the appropriate codecs to listen to them or convert them.
If you plan to download from the Steve Coleman archives above, you may have to use a FTP client, because the server only allows for 5 connections at a time, and servers often ban browsers because they tend to try to open multiple connections to the server (just like they do with websites).
A good and free FTP client is SmartFTP:
http://www.smartftp.com