why firewalles don't prevent accessing explorer to ftp sites unlick other softwares?

[ghprogrammingco]

I should write a program to run on my clients in local network and connect to my ftp site behind the firewalls installed on client computers. firewalls prevent my program, or at least notify to users, but iexplore.exe and explorer.exe and other web browsers (such as opera, Firefox) can connect to site and transfer files without any notification from firewalls.
I guess that firewalls have a white list of well known soft wares such those I mentioned above, but I can't found such list in firewalls (at least in all of firewalls). Then I decide to make my connection and file transferring in a thread in a dll file and inject that dll into explorer. In such circumstance because of code run on explorer address space, it's like that explorer connect to ftp site and transfer data. Using this approach I can connect to ftp site successfully but unfortunately and surprisingly firewall prevent transferring files by blocking ftp servers computer IP address. In this condition the explorer still can connect to ftp site by normal way. why????????
please help me