There are many different FTP / SFTP programs that work with DreamHost accounts. Would you please specify which operating system is on your computer (e.g. Windows XP, Macintosh Lion 10.7, Linux Mint 12) and which FTP program you are trying to use. Then maybe a DreamHost customer who is using the same FTP software and operating system as you can respond with detailed instructions to step you through the process.
I am using Fetch as my FTP program on a Macintosh Lion 10.7 computer. For myself downloading a file and downloading a folder is exactly the same steps. I use Fetch to connect to my website files. If I highlight a file with my mouse and mouse click on the GET icon the file is downloaded to my computer. If I highlight a folder with my mouse and mouse click on the GET icon the folder and everything inside it is downloaded to my computer.