excuse me the question perhaps beginner, but came out a doubt. One person asked me to edit your site, but it was very strange story and did not know this person yet ... When I connect me by filezilla, an unknown certificate warning appeared, and was wondering if there is any possibility of something bad happen when connecting the filezilla on a server that do not have full confidence.
Most likely you were attempting to connect via FTPS and the server didn't have a valid certificate.
If the person gave you FTP details then go ahead and connect via FTP, but note that your credentials will be sent in clear text.
On the other hand if you are sure you should be connecting to an FTPS server then you may be victim of an MITM attack and the attacker is replacing the server's certificate with his own which your system doesn't trust.