No, you have it pretty much right, there are few things that you can do within an FTP session, so downloading the directory list is the way to go.
I dont know the contents of the site, are the filenames datestamped ? if so then sorting the TLIST file would be useful, if you make the newest file at the top, then the following will retrieve the name :
:: put newest file into %Latest%
Set Latest=<TLIST.SRT