Did you read the docs? ie:

Do I need to install pip? pip is already installed if you are using Python 2 >=2.7.9 or Python 3 >=3.4 downloaded from python.org or if you are working in a Virtual Environment created by virtualenv or pyvenv. Just make sure to upgrade pip.

Installing with get-pip.py To install pip, securely download get-pip.py. [1]:

curl https://bootstrap.pypa.io/get-pip.py -o get-pip.py

If you can install the latest Python (2.7.9 and up) Pip is now bundled with it. See: https://docs.python.org/2.7//installing/index.html
If not :
Update (from the release notes):

Beginning with v1.5.1, pip does not require setuptools prior to running get-pip.py. Additionally, if setuptools (or distribute) is not already installed, get-pip.py will install setuptools for you.

I now run the regular:

curl --silent --show-error --retry 5 https://bootstrap.pypa.io/get-pip.py | sudo python

Here are the official installation instructions: http://pip.readthedocs.org/en/latest/installing.html#install-pip

EDIT 25-Jul-2013:
Changed URL for setuptools install.

EDIT 10-Feb-2014:
Removed setuptools install (thanks @Ciantic)

EDIT 26-Jun-2014:
Updated URL again (thanks @LarsH)

EDIT 1-Mar-2015:
Pip is now bundled with Python

Instead of install wget from python is not something I have heard of before, honestly. Perhaps the wget module you are installing is a python remake or something. Either way, run it as python module with the -m flag: python(3) -m wget. Or just install it the way any other person would. I am pretty sure that the link you tried to install it from is not official. The official link, at least for windows, is here. Download the setup package and run it. Then try running wget from cmd.exe (or terminal, choose your windows version). If you are downloading from the website, note your windows version. That might be the reason you couldn't install it from the link you provided. Happy coding!

There is also a nice Python module named wget that is pretty easy to use. Keep in mind that the package has not been updated since 2015 and has not implemented a number of important features, so it may be better to use other methods. It depends entirely on your use case. For simple downloading, this module is the ticket. If you need to do more, there are other solutions out there.

>>> import wget
>>> url = 'http://www.futurecrew.com/skaven/song_files/mp3/razorback.mp3'
>>> filename = wget.download(url)
100% [................................................] 3841532 / 3841532>
>> filename
'razorback.mp3'

Enjoy.

However, if wget doesn't work (I've had trouble with certain PDF files), try this solution.

Edit: You can also use the out parameter to use a custom output directory instead of current working directory.

>>> output_directory = <directory_name>
>>> filename = wget.download(url, out=output_directory)
>>> filename
'razorback.mp3'

Installing with source

Go to this link: https://bootstrap.pypa.io/get-pip.py

Copy the contents of this file onto another new file and save it as get-pip.py (when it asks you what you want to do with the file, click Save, then copy the contents of the file onto another new file), and open your Windows Command Prompt as an admin and go to the file path and then enter (you need Internet for this) the following command,

python get-pip.py install

For help on installing with different operating systems

Refer to this link: http://www.pip-installer.org/en/latest/installing.html

Installing with an exe file

Click here to get the file, and install it and you need to set a path to the pip directory, you will find a source folder in the C drive and you can find the pip file, then set the folder path.

TARGET="https://pypi.python.org/simple/virtualenv/"
PATTERN="virtualenv-15.1.0.tar.gz"

wget --recursive --no-directories --accept=$PATTERN $TARGET

edit: Manual installation and use of setuptools is not the standard process anymore.

If you're running Python 2.7.9+ or Python 3.4+

Congrats, you should already have pip installed. If you do not, read onward.

If you're running a Unix-like System

You can usually install the package for pip through your package manager if your version of Python is older than 2.7.9 or 3.4, or if your system did not include it for whatever reason.

Instructions for some of the more common distros follow.

Installing on Debian (Wheezy and newer) and Ubuntu (Trusty Tahr and newer) for Python 2.x

Run the following command from a terminal:

sudo apt-get install python-pip 

Installing on Debian (Wheezy and newer) and Ubuntu (Trusty Tahr and newer) for Python 3.x

Run the following command from a terminal:

sudo apt-get install python3-pip

On a fresh Debian/Ubuntu install, the package may not be found until you do:

sudo apt-get update

Installing pip on CentOS 7 for Python 2.x

On CentOS 7, you have to install setup tools first, and then use that to install pip, as there is no direct package for it.

sudo yum install python-setuptools
sudo easy_install pip

Installing pip on CentOS 7 for Python 3.x

Assuming you installed Python 3.4 from EPEL, you can install Python 3's setup tools and use it to install pip.

# First command requires you to have enabled EPEL for CentOS7
sudo yum install python34-setuptools
sudo easy_install pip

If your Unix/Linux distro doesn't have it in package repos

Install using the manual way detailed below.

The manual way

If you want to do it the manual way, the now-recommended method is to install using the get-pip.py script from pip's installation instructions.

Install pip

To install pip, securely download get-pip.py

Then run the following (which may require administrator access):

python get-pip.py 

If setuptools is not already installed, get-pip.py will install setuptools for you.