A few days ago I began trying to do the same thing using an ftp client on windows. However, I have had problems doing so. It seems that the native client that comes with windows cannot get access to data and refuses the connection (although it allows me to connect to the server). This may have to do with lack of passive mode...but I am not sure. Then I found this application and everything was going well navigating the sec ftp site until I decided to download a file. Winscp believes these files are symlinks and thus nothing happens when I try to download. I use ncftp and I had no problem downloading a single file. What is nice about Winscp is that if I solve this issue I can script a batch process to download many files. Something that seems to be a limitation in all windows ftp clients that I have looked at.
The problem is replicable by running the following lines (no password). You can also connect using the GUI, however consider that the folder data is not browsable so you have to leapfrog onto the 1062195 folder to get the listing:
winscp believes that the file 0001104659-06-016816.txt is the symlink.
I have been all day on this. If someone could help me, I would appreciate the assistance very much.