This is pretty well documented online, but I can never seem to find it when I need it. So, I'm putting it here too.
Internet Explorer defaults to anonymous FTP, when sometimes you need to log in with an explict username and password. One of the lesser known features of URL's is that they allow login information to be specified as part of a web address.
ftp://username:password@hostname/
The :password part is optional, but sometimes necessary. As the Rutgers site points out, there are security issues involved with this, particularly on public terminals. That said, FTP (RFC 959) sends passwords as unencrypted text anyway, so I wouldn't be using my most secure passwords to log into an FTP site.
Also, Microsoft have a Knowledge Base Article that describes this in more detail, including a way to log in from a menu command, if you have the right settings enabled.