Ulf,
This was a bug with 0.6. Go to this page:
http://tln.lib.mi.us/~amutch/pro/kmeleon/khistfiles.htm
and download the appcomps.dll file. Follow the instructions there on where to copy it and you should then have FTP support enabled. In K-Meleon 0.7, FTP support won't require any extra files to be enabled.
Andrew