You can easily find FTP clients with behave like a file manager based on Windows Shell, but I cannot find a fully-fledged shell extension which would do everything in exact same way as the Explorer can.
May one of such clients help you? Please see:
http://bit.ly/ZFPlqS[
^],
http://bit.ly/ZFPoDd[
^].
One partial solution could be FileZilla:
http://wiki.filezilla-project.org/Using[
^].
As this is an open-source product, you can use it:
http://en.wikipedia.org/wiki/FileZilla[
^],
http://filezilla-project.org/[
^].
The source code is here:
http://sourceforge.net/p/filezilla/code/?source=navbar[
^].
FTP client itself if not a problem, as FTP is fully described and you can learn its operation from open-source project or use available libraries. See, for example, this CodeProject article:
FTP Client Class[
^].
You can find a lot more:
http://bit.ly/ZFQ7nJ[
^].
Learning how to write Shell extension is more difficult, but you can do it, too:
http://en.wikipedia.org/wiki/Shell_extension#Extensibility[
^],
http://msdn.microsoft.com/en-us/library/cc144067.aspx[
^].
This CodeProject article can also be useful:
The Complete Idiot's Guide to Writing Shell Extensions - Index[
^].
If you are seriously interested in this topic and want to do a great job, you now know what to start from.
If you decided to do it, remember that I up-voted your good question, so please try not to let me down and do a really good job. :-)
We would be very glad if you publish your work as CodeProject article.
Good luck, thank you for your interesting question,
—SA