Non e' un comando che ti manca, ma un pezzo di codice ... da MSDN ...

codice:
            ' get the response object
            Dim ftpResponse As FtpWebResponse = CType(ftpRequest.GetResponse, FtpWebResponse)
            Dim stream As Stream = Nothing
            Dim reader As StreamReader = Nothing
            Dim writer As StreamWriter = Nothing

            ' get the file as a stream from the response object and write it as 
            ' a file stream to the local PC
            Try
                stream = ftpResponse.GetResponseStream
                reader = New StreamReader(stream, Encoding.UTF8)
                writer = New StreamWriter(destinationFile, False)
                writer.Write(reader.ReadToEnd)
                Return ftpResponse.StatusCode
            Finally
                ' Allways close all streams
                stream.Close()
                reader.Close()
                writer.Close()
            End Try
in cui ftpRequest e' il tuo clsRequest e destinationFile e' localfile ...

Adattalo ...