When you have your own domain, you will often need to transfer files between your computer and the Internet location (your domain). FTP (File Transfer Protocol) is the means by which you send and receive those files.
I recommend Filezilla for those on a budget (it’s free), and demonstrate how to find it, download it, install it and use it in this video. Personally, I use (and recommend) FTP Voyager (it’s about $40) for those with more advanced needs, because it also contains a built in scheduler that will monitor directories and upload / download files automatically for you.
For most people however, Filezilla will do everything you need it to.
I uploaded this video to my "Tech Stuff" category on my I Can Do It Myself video blog.