Sorry but I don't actually use mc much. Prefer konq. You can select - say, Left -> Ftp Link or Shell link and press F1 to see usage. It does work just like konq when you type in:
/#sh:login@domain/remote-dir

Hmm, got curious if there wasn't an easier way, no need to use the menu it seems. Chapter 7 of http://www.ibiblio.org/mc/FAQ :
7.3 How do I do anonymous ftp with MC?

Just type "cd ftp://hostname" where hostname is the name of the host
you want to connect. Alternatively, select FTP link from the Left or
Right menu and type the name of the host you want to connect.

7.4 How do I do non-anonymous ftp with MC?

Non-anonymous ftp works just like the anonymous ftp but you give the
login name with the host name. For example, type "cd
ftp://username@hostname".

7.5 How do I close an ftp connection?

Just change to a non-ftp directory. Simply typing "cd" with no
parameters is enough (it will take you to your home directory).

GNU Midnight Commander closes ftp connection automatically after a
timeout or on exit. It's possible to force disconnect by selecting
"Command" -> "Active VFS List" in the menu and using the "Free VFSs
Now" button.