It has, but you probably don't want to use it. It's command line only and is called ftp.exe.
You need to find out the login details from your host. FTP address, id and password. The two latter are probably the same as any other id/pw you may have gotten already. The address usually is ftp.yourhost.com and/or ftp.yourdomain.com, but it could be something else.
Then get a FTP program. For instance FileZilla.
http://filezilla-project.org/Some other free programs.
http://www.snapfiles.com/Freeware/network/fwftp.htmlOnce you are connected you'll see your HD in one window and the files at your server in the other. Usually you can drag files between the two windows, just as with Explorer, and they'll be downloaded or uploaded. Otherwise check the menus and the context menu for commands.
There are two transfer "modes", binary and Ascii. Use Ascii for everything text. That is txt, html, css, js, pl, php... In short everything HTML related and scripts, everything that's written in plain text. Use binary for everything else, images, movies, zip files, programs and so on. FileZilla has a filter where the common file types are already added so you don't have to bother if there aren't unusual files. Most other programs probably also have this.