You'll have to log into the site first. Click File/Open and you'll get a normal dialog box. In the file name box, type in the URL as
www.website.com and click open. You should then be prompted for the login. Enter the information and the site directory should load. If it loads in the "open site" box, just click open again.
If you really feel you need to download a copy of the site (you can make your changes live and save them without doing the work on your locan machine), click File/Publish Site. Check the "File System" selection and specify a location on your machine and click OK. Should be a straight forward process from there.
It might be a long process.....FP is very slow at upload/download processes, so making your changes live is much faster....guess it just depends on how involved the changes you need to make are.
Good luck.