There is no direct way to get photos from an FTP server into the Photos app.
Marilyn's method with Photo-Sort will work fine if you want the photos in the Photos app, but will not let you place them in a specific album. There are a number of other apps that will let you do this also, but you may find you like the Photo-Sort app, since it lets you create and display albums without resorting to iTunes or the Photos app.
But, if you really need the photos in the Photos app, and in an album, your only choice is to copy them to a computer first, then sync them through iTunes.
iPhone, iPad and iPod touch: Syncing photos via iTunes
We have some hopes that iOS 5, due sometime in the fall, will change this. Though I doubt it will be as versatile an organizer as Photo-Sort or the other some of the other third party apps available.