Hi Diane

If it's a wordpress plug-in (which I'm assuming it is) - yes, copy it to your blog.

And yes - you can use your BV FTP. Open Blue Voda, go to Tools, BlueFTP and copy your plugin over to the plugin folder in your wordpress installation.
(Then go to wordpress, log in and activate your plugin there.)

If you want to download a theme (template) to change the look of your blog - FTP it across to the themes folder of your wordpress installation in the same way.
(Then go to wordpress, log in and activate your theme there.)