wget is a Unix utility, not a Macintosh application, so you can't use the normal 'tell application "wget"...' syntax
The simple solution is:
do shell script "wget
http://www.apple.com/"
note that the output would be saved in the current directory since that's wget's normal action. If you want to read the document into an AppleScript variable, it would be easier to use curl since curl writes output to stdout:
set theHTMLDoc to do shell script "curl
http://www.apple.com/"
now theHTMLDoc contains the HTML for Apple's top page.