several options:

Put it in the background and make sure it doesn't respond to the Hang-Up signal:

$ nohup wget http://your.download.location/something.file &


Or, you can use a program called 'screen':

$ screen
$ wget http://your.download.location/something.file

Once your download starts, tell screen to disconnect by typing Ctrl-a Ctrl-d. The job will continue to run and you may log out. You may reconnect at a later time and type 'screen -r' to reconnect. See the screen man page for more info.