dasein,
Try and narrow the problem down. To see if the problem is just with Cyberduck, try connecting from Terminal.app with the format:
ftp
open ftp.microsoft.com
For this example you would type anonymous for the login and someone@user.com for the password. To end the session type exit.
If you are able to connect fine with Terminal.app then the problem is somewhere with the Cyberduck application - probably a preference setting.