FTP stands for File Transfer Protocol. As far as you're concerned, you need a "client" to download files using this method. Whatever FTP client you use, make sure it has a mechanism that allows you to resume interrupted files. Any mentioned here should be able to. If you decide to use one not recommended here, you should (as always, with any software) do some research to be sure it doesn't contain spyware or adware; even spyware-free ones have been known to be co-oped by shady software distributors.
Most FTP clients have a filesize limit, so be aware. Also, there are two versions of FTP: active and passive (PASV). Without going into detail, passive FTP is the mode in which you want to operate, because active does not play well with modern firewalls. Also, FTP can operate in ASCII or binary mode. The former is strictly for sending text files (FTP is an ancient, but good, method of transferring files, and sending 7 bits versus 8 saved a lot of overhead in the old days) whereas the latter is what you need for Trainz or anything else today.
The passive and binary settings shouldn't be an issue as most modern clients by default use PASV and binary modes, but it will save you much aggravation if you find your FTP not working.
