Thank you guys for fast reply.

One uses just port 21, the other uses port 21 for commands and port 22 for data. The information you want from the lst command, (which goes out on port 21), is being returned through the data channel, (port 22), which is being blocked by a firewall.... Set it so the mode uses only port 21 and all will be well with the world
I know that these two ports are used, but I can connect to any other ftp server with no problem - so I don't think firewall should be the problem. This ftp is the only one, which I'm not able to connect to. Or am I wrong?

Change your mode from active to passive... or is it the other way around... I never remember... Whatever the mode is now change it to the other.
try using pftp (passive ftp) and see what happens... let us know if you still have the problem.
I tried but it doesn't look it helped. But I'm not sure if pftp is working well because after I typed pftp I get command line with "ftp>" and last answer from server was "227 Entering Passive Mode (81,95,106,186,4,201)."

UPDATE: I tried command passive and get
Code:
ftp> passive 
Passive mode: off; fallback to active mode: off.
Does it mean, that ftp server doesn't support passive mode? because if so, than I found my problem