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To date, only Linux/UNIX-based hosts have been participants in the Grid vision for seamless data access, because the necessary Grid data access protocols have not been implemented on Windows. As part of our larger effort at the University of Virginia to make the Windows platform a first-class participant in all aspects of grids, this paper describes our experiences and lessons learned while implementing GridFTP on the Microsoft .NET Framework. Our implementation not only supports major extensions of GridFTP v1, it also uniquely implements some features of GridFTP v2 and introduces a new transfer mode specifically designed for transfer of large collection of small files. Our measured performance is comparable to GT4 GridFTP on both single and parallel streams transfer and more efficient than GT4 GridFTP on directory tree transfer. We also identify issues specific to the .NET Framework/Windows platform with regard to security and we identify limitations of current GridFTP protocol. To our knowledge, the work described in this paper is the first comprehensive and evaluated implementation of GridFTP on .NET.