Hello @Shashvati Dash 

After you retrieve, you can save the file creating a %Stream.FileBinary and change the FileName to your directory in local FileSystem,

Set tStream = ##class(%GlobalCharacterStream).%New()
$$$THROWONERROR(tSC, ftp.Retrieve(file,tStream))
Set tFile = ##class(%Stream.FileBinary).%New()
Set tFile.Filename = "D:\"_file
Do tFile.WriteLine(tStream.Read())
Do tFile.%Save()
Set tSC = ftp.Logout()