Hi Tom,
If this happens every time you try to use GSEA, the likely cause is that your IT organization is blocking FTP access on your local network itself. This sometimes happens in the name of security. That error is not the usual way this situation presents itself, but I've confirmed that our servers are still working fine.
The workaround in this case is to download the GMT and CHIP files directly from our website. You can choose them individually if you know which ones you need, or you can get ZIP bundles containing all the GMTs or all the CHIPs. Once you have these on your computer, you can use the Load Data screen to bring them into GSEA. Then they will be available in the file choosers under the "Local" tab.
Sorry for the inconvenience. We have long intended to switch away from FTP access but the code in question is rather old and hard to change and we only have limited resources to devote to it.
Thanks,