Some of the advice in this thread has been... bad.
Basically, your host is saying that the copy of the PHP software on your server is configured to disallow "ftp_connect." This means that any PHP code containing "ftp_connect" will not function. Unfortunately, WordPress is a script that uses the function in question.
You have two options. If you have access to cPanel WHM on your server; you can use the "EasyApache" feature to compile your own installation of Apache which will let you use "ftp_connect." Instructions for doing this can be found quite easily with a Google search.
Your other option is to find a web host that uses a more "typical" PHP setup, or ask your current webhost to compile PHP with the "recommended" settings on your behalf.
May I ask what company you're hosted with, simply so I can avoid them in future?