This was a problem in SQL Server which the Microsoft KB article (Q288330) says that was fixed in SP1.
see detail at:
http://support.microsoft.com/support/kb/articles/Q288/3/30.ASP
SYMPTOMS
When you use an FTP task in Data Transformation Services (DTS) to move files from an FTP server to a destination folder, the last file in the list is deleted from the destination, after the package completes execution. Th file deletion happens when the package is executed from the GUI. If the package is run from the command line using DTSRUN, the last file is partially copied over.
The file is deleted if it is a relatively large file. However, if the last file in the list is a very small file, for example about 2 kilobytes (KB), all the files are moved over successfully.
RESOLUTION
To resolve this problem, obtain the latest service pack for Microsoft SQL Server 2000.
STATUS
Microsoft has confirmed this to be a problem in SQL Server 2000. Microsoft has confirmed that this is a problem in SQL Server 2000. This problem was first corrected in SQL Server 2000 Service Pack 1.