Using FTP to download each file *WHILE* getting the file list

Question

We need to get about 100 very small files from a remote FTP server using vb.net. Our company won't let us buy (or install) any 3rd party ftp libraries... so we are forced to use something like FtpWebRequest. (Or is there a better free, choice that is already a part of Visual Studio?)

This method works, but it is VERY slow. (I assume because of the constant logging in/out.)

Log in with user name and password.
Get a file-list from the remote server.
Log out
Use that file-list to get each file separtely:
Log in, get the file, log out.
Log in 99 more times, get each file, log out each time.

Instead, we probably should be doing this, but it never works:

Log in with user name and password.  ONCE.
Get a list of filenames.
Download each file.
Log out ONCE.

We found COUNTLESS examples online of "getting an FTP file list" and later "how to download 1 file with FTP"... but we never see "get EACH file name, and download it NOW".

Dim fwr As Net.FtpWebRequest = Net.FtpWebRequest.Create(ftpSite)
fwr.Credentials = New NetworkCredential(userName, password)
fwr.KeepAlive = True
fwr.Method = WebRequestMethods.Ftp.ListDirectory

   Dim sr As IO.StreamReader = Nothing
   Try
      sr = New IO.StreamReader(fwr.GetResponse().GetResponseStream())
      Do Until (sr.EndOfStream())
         fileName = sr.ReadLine()

         fwr.Method = WebRequestMethods.Ftp.DownloadFile

         output = ""
         Dim sr2 As IO.StreamReader = Nothing
         Try
            sr2 = New IO.StreamReader(fwr.GetResponse().GetResponseStream())
            output = sr2.ReadToEnd()

         Catch ex As Exception

         End Try

         If (Not sr2 Is Nothing) Then sr2.Close() : sr2 = Nothing

         Call MsgBox("Got " & fileName & LF & output)
        Loop

   Catch ex As Exception

   End Try

   If (Not sr Is Nothing) Then sr.Close() : sr = Nothing
   If (Not fwr Is Nothing) Then fwr = Nothing