lftp doesn't recognize DOS style text files that end in "\r\n" instead of the more sensible "\n". I'm using the following patch in the next cygwin release of lftp to allow the use of DOS text files.
Patch is against lftp-2.6.9
Mark Blackburn
diff -urN -x .build -x .inst -x .sinst lftp-2.6.9-orig/src/parsecmd.cc lftp-2.6.9/src/parsecmd.cc --- lftp-2.6.9-orig/src/parsecmd.cc 2002-06-11 03:36:56.000000000 -0400 +++ lftp-2.6.9/src/parsecmd.cc 2003-12-13 22:21:56.249894400 -0500 @@ -93,6 +93,9 @@ continue; // and continue skipping space } + if(line[0]=='\r'&& line[1]=='\n') + line++; + if(*line==0 || *line=='\n' || *line=='|' || *line=='>' || *line==';' || *line=='&') break; @@ -201,6 +204,8 @@ line+=2; continue; } + if(line[0]=='\r'&& line[1]=='\n') + line++; if(*line=='\\' && quotable(line[1])) { line++;