It is available from gnuwin32 but I had major problems trying to get all of its dependencies and in the end gave up with that. As I already have cygwin installed and wget installed on that, I decided to just take it from there as these files will run as long as cygwin1.dll and any other dll dependencies are present.

I zipped these files up here (2 MB) for those who do not have Cygwin. All you have to do is extract them to somewhere on your system path environment variable (e.g. C:\Windows\System32) and you should be able to use wget from the command prompt as follows:

C:\Users\George\Desktop>wget --version
GNU Wget 1.11.4

Copyright (C) 2008 Free Software Foundation, Inc.
License GPLv3+: GNU GPL version 3 or later
<http://www.gnu.org/licenses/gpl.html>.
This is free software: you are free to change and redistribute it.
There is NO WARRANTY, to the extent permitted by law.

Originally written by Hrvoje Niksic <hniksic@xemacs.org>.
Currently maintained by Micah Cowan <micah@cowan.name>.