This isn't that elegant, and isn't really useful. It falls into the "hey I wonder if it will do that" category.

In Classic I installed a shareware FTP client (VFSFTP+), logged onto an FTP server where I had put an MP3 and downloaded it to the "card" in Classic.

Then I went into FileZ and moved the MP3 to the /palm/launcher folder which is necessary because the "card" in Classic isn't accessible through USB mode but the /palm/launcher folder is. Started the Music App and played the MP3.

So, I successfully used FTP to download a song from an FTP server to my Pre and play it (with wifi turned off).