Supondo que você use o Windows PowerShell, é isso que você está procurando:
If you just need to retrieve a file, you can use the DownloadFile method of the WebClient object:
$client = new-object System.Net.WebClient
$client.DownloadFile( $url,$path )
Where $url is a string representing the file's URL, and $path representing the local path the file will be saved to.
Note that $path must include the file name; it can't just be a directory.
Vem deste tópico: Alternativa nativa para wget no Windows PowerShell?