Almost certainly because the server is running on a different type of computer than the one you are using. The majority of anonymous FTP servers run on Unix machines, so the directory structure and command set may appear unfamiliar to you. Any type of computer which can connect to the Internet can run FTP server software but not all servers on Macs and PCs implement all of the standard Unix FTP command set.
Don't forget that file structures or hierarchies may be different as well. The number of characters that can be used in a filename, which characters are permitted in filenames and whether spaces are permitted all vary. DOS/Windows 3.x, Windows 95, MacOS and Unix all have different rules in this respect, so if you are retrieving a file from a 'foreign' file system you may have to rename the file to comply with the rules of the operating system you use. Failing to rename files which need it is a common reason why FTP transfers fail.
