How do I install Wget for Windows?

It sounds like you're using Windows. To download a pre-built wget.exe for Windows, see WGET for Windows.

In the box near the top of the page, wget.exe is a link to download the wget program itself. Since this is an exe file already, there's no need to unzip or install this particular version.

What you downloaded previously was the source code to wget, so you would need a compiler to build a wget for your system. This is probably not what you wanted.

You may want to also look into cygwin. This allows you to manage windows totally from command line. With cygwin you can easily wget any file.

To actually "install" wget so that you can use it from any command prompt (as you attempted), you need to add its containing folder to the PATH environment variable. Proper practice would be to create a "Utilities" folder such as C:\Program Files\Utilities and adding it to the path, and then placing any utilities that do not come with an installer into here and adding it to the system path.

I however, tend to be lazy and simply drop the utilities into C:\Windows\System32 as it is already on the path and doesn't require a reboot to take effect. Use proper caution when working with the windows directory if you choose this route.