Drag & drop from ftp to my computer

I have a problem to drag and drop from my server to my computer on the desktop or in a specific folder. The same problem happen :
It automatically creates a new folder nammed "SFTPDROP", and that's it! Nothing else happen...
It did the same with an other software but my computer firewall is off.
My computer is under Vista.

Is there something wrong with it?

Sorry for my english, and if I didn't find a topic about that...


PS: I made a capture I couldn't link to this post... how to?