You will need to understand a bit more about what the CGI is doing. If I click on that link, from SuperUser, I get the same message. The problem is not with the CLI per-se, its because the CGI is detecting you are accessing the file directly and it has been setup to block this (my guess anyway). Try to use the
wget --referer option to set the referer. If that doesn't work simply iterate constantly making wget more "same-same" as your browser, meaning adding in the user agent and so forth.
Note: I'm assuming this file is not behind some kind of system you need to log into. If it is you probably need to look at a small python script (or similar) to achieve this, although there are some tools if scripting is not your bag.
Note: what you are doing may not be legal depending on the terms of service of the site and the license the file is distributed under.