When you ftp and create folders, you most likely using your own username, so the permissions for that user are different than the one that WordPress uses. WordPress runs using the username for the webserver (for example, the apache user is the default username for the Apache webserver, and IIS has a default user of something like IUSR_MachineName (or something along those lines).
So, for that directory, you need to make sure that the apache user has read/write access to that directory. You may want to be careful with that, though, and specify a subdirectory (like /wp-content/images) and make only that folder writable by apache. It’s been my experience that the less access you grant, the better.