Ways to backup files from a Linux server on to Windows 7?

I have a web site that is hosted on a shared web hosting provider's site that runs on a Linux platform. Once in a while I'd like to log in via ftp and back up all the files to my computer. The issue is that Linux file system allows case-sensitive file and directory names, when Windows does not. So when using Windows Explorer in Windows 7, I log in using ftp and do select-all and then paste to a folder on my desktop, I get one big confusing result.

Let me show. For instance, the directories on the Linux server have this structure:

-Folder: file
--File: index.php
-Folder: File
--File: index.php
-Folder: FILE
--File: index.php

Then on my Windows 7 I get this:

-Folder: file
--File: index.php
--File: index(1).php
--File: index(2).php
-Folder: file(1)
--File: (It's empty)
-Folder: file(2)
--File: (It's empty)

As you see this is not what it was before.

So my question is -- how can I back up these files from the server to my Windows machine so that I can possibly restore them later without any issues?