The first suggestion is pretty obvious.  It would be nice to be able to download a remote file to an explorer window other than the local browser in FlashFXP.
The second one could/might be an alternative.  Add an option in the context menu for remote files "Download to path..." which would open a "Browse for Folder" Windows dialogue so the user could select a location to download without having to browse away from the location in FlashFXP's local file browser.
A third option could be to have a "Back" button in the local and remote file browsers with a right-click option that lists the "Back" history (similar to how most browsers work).  And while you're at it, a "Forward" button could work to 
So, what do you think devs?