Hi,
it is not natively built in to .Net CF - you need to look at a 3rd party solution (OpenNetCF,InTheHand,nSoftware,http://code.google.com/p/ploopftp/

(freeware)) for an FTP component, or roll your own - I'm pretty sure there is source code around.

If you allow activesync you can use a 'mapped drive' and copy the files.