Rename Test#connect_to to #open.

'open' is consistent with common usage, such as File.open.
Add Test#close
Add Test#close method that closes the socket to the ftp server.

Also ensure that the #close method gets invoked once the test code
has been run.
Replace Test#new with Test::run.

Have the tests run and then cleaning everything up (e.g. closing
the socket) all in the constructor seems a bit unusual: you create
an object and then immediately throw it away.  Using a class ::run
method seems more natural and less surprising.
Move #method_missing into the private section of classes.

Should also move #initialize there as well but people expect
to see it near the top of the class definition (?).