Recently downloaded website files and they won't display

All,

Using Vista Ultimate - went into admin on a hosting site to download latest
copy of the site. Had to create (from FTP tool) folder to store data in a
folder on my computer. While in the FTP tool, I can see all the files and
folders. When I Log off and just using Windows Explorer, I can't see any of
it.

I suspect it's a permissions thing but don't know how to fix.