If you do not want to compile gFTP yourself, you can check my webpage. I have DEBs for Debian and RPMs for RedHat available. If you're looking for Solaris binaries, check out http://www.sunfreeware.com.
If you are compiling gFTP yourself, extract the files from the distribution with tar -zxvf gftp-<version>.tar.gz
Go to the gftp-<version> directory and type
./configure
make
The configure script will generate a Makefile for your machine, and make will compile a binary for your machine. By default, when you run configure, it will install gFTP with the prefix /usr/local, so the gFTP binary will be /usr/local/bin/gftp. You can change this by typing configure --prefix=/usr, and it will then install the gFTP binary to /usr/bin/gftp.
If the compile suceeds without any errors, you can type make install to install the binary. This will also copy some necessary files to <install prefix>/share/gftp. If you do not have root on your machine to install these files, copy the contents of the docs/sample.gftp/ directory to ~/.gftp.
You may want to glance at the USERS-GUIDE file that comes with this distribution. It contains a little bit of information about how to use it.