To download files from an ftp site, you need an ftp client such as CuteFTP, WS_FTP, or SmartFTP (my favorite).
If you go to download.com, there will be a listing of at least 30 to choose from
Once your there, specify the IP or name of the PC you wish to connect to. Also, specify the port (usually port 21). If anonymous users are allowed, you can enter "anonymous" as the user, with your email as the password. If anonymous connections are not allowed for the particular ftp server you're trying to connect to, you will have to already have a username on the server.
Once in there, you should be able to drag and drop files to/from your PC.
Also... if you have Internet Explorer, the cheesy/quick way to visit an ftp site is to browse to ftp://username:password@serverIP:serverPort
Sorry, I don't know what grokster is
is it a file sharing program such as the gnutella network ?? (the old napster, kazaa, morpheus, etc?)