Most (not all) programs that support proxies check the environment variables http_proxy and ftp_proxy.
So do 'export ftp_proxy=ftp://the.server.com

ort/' and try to do your stuff.
Not all programs do things this way, but the common tools like wget and lynx do, so chances are, it will work
If not, you may have to give command-line options to the prog you're trying to use.
Good luck