Many people check the "Keep Alive" option under the "Default Options" button on the File-->FTP-->Profile Manager dialog. This option will only set the "Keep Alive" option for any new FTP profiles that are created. It does not affect the "Keep Alive" option for any of the existing profiles.
To set it for the profile you are currently working with, first select it, and then press the "Edit" button. Now check the "Keep Alive" option on the "Advanced" tab.
Note: Your FTP server must be set up to accept a "NOOP" command as a valid command for this to work. If you are unsure if your FTP server will accept this, please contact the administrator of the FTP server.