Use code similar to this. Update your progress bar and or labels as you go.

WITH THIS
&& Call FtpOpenFile to get the file handle
hFTPFile = .FTPOpenFileF6(.cFileNameSource)

&& llReadSuccesss set to 1 to assume success
&& hDestinationFile is a file handle using FCREATE on local drive
llReadSuccess = 1
hFTPFile = .hFTPFile
hDestinationFile = FCREATE(lcDestinationFile)
liNumBytesToRead = .nBufferSIze

DO WHILE (llReadSuccess > 0) AND (hDestinationFile > 0)

lcBuffer = SPACE(.nBufferSize)
liNumBytesRead = 0

&& InternetReadFile has a Boolean response but coming from "C" type
&& libraries the value is a 0 or 1.
llReadSuccess = InternetReadFile(hFTPFile, @lcBuffer, liNumBytesToRead,
@liNumBytesRead)

IF (llReadSuccess > 0) AND (liNumBytesRead > 0)
=FWRITE(hDestinationFile,lcBuffer)
.nBytesRead = .nBytesRead + liNumBytesRead
ENDIF
ENDDO

=FCLOSE(hDestinationFile)
ENDWITH