You can copy the exe file from http://gnuwin32.sourceforge.net/packages/wget.htm

and paste the file into WINDOWS\system32 folder of your PC.

Now go to command prompt (Acessories > Command Prompt) and use wget command to download files  as you do in linux

eg.  wget http://URLofTheFileYouWishToDownload.zip

This will download the specified file on your machine