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There are two ways of getting files onto your site, and once there, changing them.
FTP or "File Transfer Protocol" has been the most widely used transfer protocol for over thirty years, but it does not offer a secure connection. SFTP or "Secure File Transfer Protocol" transfers your files and your password over a secured connection, and should therefore be used instead of FTP whenever possible. Most hosting providers offer support for SFTP connections, though you may have to contact them to enable SFTP on your account.
Why use FileZilla? Because, like WordPress, it is released under the GPL. So, it is not just free, it is staying that way too. FileZilla is also a stable client that works on all flavors of Windows.
Need an FTP or SFTP client for your Mac? Try Cyberduck, which is also free and released under the GPL.
The following pages will show you how to setup and use Filezilla:
Want to try a different FTP or SFTP client? Find more on Wikipedia.