If you are looking for a client that will allow you to enter FTP: //hostname/folder/file.ext into it and it immediately opens the file in the application associated with the file extension, then you will need to find an FTP client which can register itself as a "URL Handler".
This will allow the FTP client to launch, log in to the remote FTP server, traverse to the specified folder, download the file, then launch the Windows Application registered for the file and allow the file to be modified.
The trick is that many times the FTP client is not able to know when the Windows application has modified the file, and therefore the FTP client is not able to upload the changes back to the remote FTP server. Permissions could also prevent this from being done successfully.
I'm not aware of an FTP client application which handles all of the above. With regards to WebDrive, while it doesn't register itself as a URL Handler (although this is a great idea and we'll pass it on to the engineers), it does give you the ability to launch Windows Explorer, or a command prompt, and enter X:\folder\file.ext and have it open in the application. You can also access files remotely on the FTP server through Notepad+ directly using the File Open command, and changes are saved directly back to the remote server.
So there are a few different avenues to go, and you'll need to decide which features are most valuable to you personally and go with what works for you--there are a ton of options out there to choose from.