I'm making a guess that you are trying to link to a server normally set up for FTP operations, but that happens to contain the .MDB file you want. You need to understand security, firewalls, and FTP, my friend.
FIRST - the server probably is set up behind a firewall or has an included firewall product. If so, you are trying to connect to the server using a protocol and port number other than the one set aside for FTP. You are probably being disallowed the connection by the firewall, since file exchange services and FTP services are different protocols on different ports. If it is being stopped here, the socket (connection) is being denied.
SO... let's say you "cheated" and made the file exchange protocol run on the FTP port.
SECOND - FTP servers do not accept file protocols in the same way that file servers do. The requests are totally different. An FTP session can transfer a file TO or FROM another computer via PUT or GET commands, respectively. Access doesn't do either of these when it is performing a file request so the FTP daemon (for UNIX; read "service" for Windows) will reject the incoming request based on a protocol error. Read up on or Google "RFC 823" (I think that is the right number) to understand FTP better.
THIRD - Assuming you could overcome these two problems (and #2 is a real bear to overcome), ACCESS would monopolize the channel pretty badly. If I were the systems administrator for that box, I'd remove your login privileges in a heartbeat until I had the chance to lecture you about abuse of services.
Access uses file exchange protocols, which tend to be random and real-time in nature. An FTP server, precisely because it doesn't normally need to be real-time, is usually small, slow, dumb, and ugly. All it needs is a network tap and a channel to the disk farm; at that point, it is good to go in file serial access mode, and at its own pace within the timing required for the network's "heartbeat" parameters. Running Access file exchanges through an FTP server, assuming you could even make it work, would be flat disrespectful of your fellow users.
FOURTH - if the file really IS on the FTP server, download it. The odds are that it is kept in a folder with read-only privileges. You could still do a GET, perhaps, and get your own copy of the file.
However, Access requires read, write, and several other permissions to open a file in a given folder. An FTP machine's folder permissions SHOULD be very different from an Access folder's permissions because the missions of the two situations are vastly different. If I were the admin for the FTP server, that folder would be write locked to the entire friggin' UNIVERSE. Access won't run very well in such an environment. You are asking for an instant security violation and a raft of event logs with your name on them.
Sounds harsh? Sorry, but you are asking for something that should not be allowed in any reasonably secured environment, what with all the hackers that exist out there. Access isn't the most secure product on a good day, and it runs under Windows, which is probably the LEAST secure O/S still in popular use.
If you didn't know that, consider yourself as having been enlightened. And if you DID know everything I just told you, you weren't using your noodle properly, in which case you DESERVED a wake-up call.