The msys shell that comes with a Windows install of Git has curl, which is an awesome little utility, but sometimes you want access to wget. The MinGW project on SourceForge has a build of wget ported to work with MinGW/MSys: download this archive, create a folder called /bin in your home directory, and extract wget.exe to that /bin folder. Since ~/bin should be in your MSys PATH (at least it was for me), this should let you run wget from any directory when using Git Bash.

Credit to trasana.org’s page on creating a build environment for pointing me in the right direction