IE works just fine at connecting to FTP servers, from what I've seen over the years. You might want to try the "Right-click, Save-As" instead of left-clicking on FTP download links. That might help a little.
Other than that, you just have to be patient. Most FTP servers have connection limits, so if they are full, you'll have to wait a little while.
Of course , if you're running a firewall, it may be blocking IE from the FTP ports, too. Check on that.