It's not like that.
You can just give path of the file contained in sub folder and you can
download the file from sub folder or any folder hierarchy.
Try following example.
FtpWebRequest request =
(FtpWebRequest)WebRequest.Create("ftp://www.contoso.com/test.htm");
request.Method = WebRequestMethods.Ftp.DownloadFile;
request.Credentials = new NetworkCredential ("anonymous","janeDoe@contoso.com");
FtpWebResponse response = (FtpWebResponse)request.GetResponse();
Stream responseStream = response.GetResponseStream();
StreamReader reader = new StreamReader(responseStream);
Console.WriteLine(reader.ReadToEnd());
Console.WriteLine("Download Complete, status {0}", response.StatusDescription);
reader.Close();
response.Close();
HTH