That is a command-line wget. If you click on it on Windows, then the command-line windows just pops up for a second because this way you canot give the parameters.
Instead, open a command-line terminal with clicking on the START menu and clicking RUN, then type 'cmd' without quotes, then hit enter.
Now navigate to the folder where you downloaded wget to (the best is to move it to the C: root with explorer). Then you can use wget like this by typing:
where the url means a direct link to a iso for example or anything else. Like:
wget http://beta.sysresccd.org/systemrescuec ... .7-rc3.iso