To connect to an FTP server actively with FileZilla, here are some tips. These tips should be applicable to any FTP client, but the options may be worded a little differently.
Check out the options under Firewall Settings. Make sure "Passive Mode" is not checked.
Make sure your firewall allows FileZilla to "act as a server".
If you are behind a router, make sure you have a/some port(s) forwarded to your computer, and configured in "Limit local ports used by FileZilla". Also make sure to set "Use the following IP Address for non-passive transfers" to your internet IP address.
