Ok, I got it. Because, the inner Using can have a various type, it is an overload, I have to specify what loStream is:

                        Using loFtpWebResponse = loFtpWebRequest.GetResponse()

                            Using loStream As System.IO.Stream = loFtpWebResponse.GetResponseStream()

                                Using loStreamReader As New StreamReader(loStream)

                                    ' Load the files into the string builder
                                    loStringBuilder.LoadString(loStreamReader.ReadToEnd())

                                End Using

                            End Using

                        End Using

Thanks for the help, this works.