I’ve managed to crack this, so now posting the relevant bit of code for future visitors:
filenames = ftp.nlst() # get filenames within the directory
print filenames
for filename in filenames:
local_filename = os.path.join('C:\\test\\', filename)
file = open(local_filename, 'wb')
ftp.retrbinary('RETR '+ filename, file.write)
file.close()
ftp.quit() # This is the “polite” way to close a connection
This worked for me on Python 2.5, Windows XP.