Ok,
First read this page :
http://www.editcorp.com/Personal/Lars_A ... get_7.html. (and man)
Create a txt file with an editor handling the linux format (ex notepad+) and named yourwantedname.sh
the first line must be : #!/bin/sh
and add lines as if you use a putty window
Be careful,
1/ as wget will run with the user "root" and the current umask is "022", you must to change it before because all created files will have write permissions only for the user root.
So add this line : umask 0
2/wget saves the files in the current folder, so you have also to select the wanted folder
So add this command : chdir 'fulpathtothe folder' (quote must be used if the path has spaces)
You can get a small example with the wget menu. After selecting a folder and the url, if you click on the button "Add this Wget job in CRON" a shell script is created in the share "cronjobs"