This goes for both Unix and Windows, if you can type a command at the command prompt (the shell), then you can redirect the output to a file.

prompt: ls  >file
prompt: dir >file
etc.
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On both Unix and Windows you can also redirect STDOUT and STDERR to different files. On Unix there is a standard program called "tee", ls | tee outfile, will send output to console and also to the file outfile.

Update:

This wget thing looks pretty cool:

http://linux.about.com/od/commands/l/blcmdl1_wget.htm

But basically, if you can access the directories on the remote machine with a file path using say, 'ls' on Unix, you don't need or want wget.