GNU wget is used to download files from the internet using the command line.
GNU wget is available for most of the UNIX-like platforms and as the wget package from the Cygwin setup.
You will only need wget, if you want to use the Win32 automated library download, see Section 5.3, “Win32: Automated library download” for details.
If GNU wget isn't already installed or available as a package for your platform (well, for Win32 it is available as a Cygwin package), you can get it at: http://www.gnu.org/software/wget/wget.html.
If wget is trying to download files but fails to do so, your Internet connection might use an HTTP proxy. Some Internet providers use such a proxy and it is common in many company networks today. Wireshark's setup script will try to discover your proxy settings automatically, but you you may need to set the environment variable HTTP_PROXY by hand before using wget. For example, if you are behind proxy.com which is listening on port 8080, you have to set it to something like:
set HTTP_PROXY=http://proxy.com:8080/
If you are unsure about the settings, you might ask your system administrator.