Alla fine ho listato i file in una combobox, ho fatto cosi(se a qualcuno potesse risultare utile...) :
Dim req As FtpWebRequest = FtpWebRequest.Create("ftp://sitoesempio/")
req.Credentials = New NetworkCredential(user, pass)
req.Method = WebRequestMethods.Ftp.ListDirectory
ToolStripComboBox1.Items.Clear()
Dim sr As New IO.StreamReader(req.GetResponse().GetResponseStream())
Dim str As String = sr.ReadLine()
While Not str Is Nothing
ToolStripComboBox1.Items.Add(str)
str = sr.ReadLine()
End While
sr.Close()
sr.Dispose()
sr = Nothing
req = Nothing