If you can ssh to the remote (Unix) server, maybe you can use scp (have you tried?). Just invert the arguments in the command line, that is from your local server do:
[lostidentity@linux ~]$ scp -p user@host:/path/to/some/file ./path/to/local/dir
Indeed, usually a firewall blocks the NEW connections, not the ESTABLISHED ones (not always true, anyway). So if your local host start the connection and it is not blocked, most likely you will be able to use the scp command in the direction shown in my example.
If this does not work, I think the only way is to put the files onto a free file hosting service (one accessible from the ftp command line) and download them from there onto your local machine.