Download method doesn't return the list of downloaded files.
You can use Ftp.Search method:
List<RemoteSearchItem> Search(RemoteSearchOptions options)
When you have list with remote items you can download each file yourself:
List<RemoteSearchItem> remote = ftp.Search(options)
// do something with remote list
ftp.DownloadFiles("c:\\", remote);
There is a second option. Subscribe to Ftp.BatchProgress event and use BatchProgressEventArgs.CurrentFile property (it returns remote file name):
List<string> remotes = new List<string>();
client.BatchProgress += (sender, args) => remotes.Add(args.CurrentFile);