Have you used IRC before? (sorry if you have and I'm over-simplifying, it's hard to tell). When you type "get (stuff)" the file doesn't instantly download, your request is put in a queue, and you have to wait until you get far enough up the queue for the transfer to begin.
Otherwise if you're getting to the top of the queue and no data is coming in check that file transfers are set up properly, and what directory it's putting the downloaded files in ("my recieved files" sounds like an odd place unless you've set it to that yourself)