If you download a widget from samsungapps.com, it will automatically appear as one of your available widgets.
If you download a widget to your PC, you have to follow these steps to install it on your Samsung Wave:
1) Connect your phone to the PC (the easiest way is via USB cable using mass storage)
1) Transfer the .wgt file to your phone
2) Remember which directory you transfer it to (a directory such as Others or the root directory are easy to remember)
3) Disconnect your phone
4) Go to your applications and click on "My Files"
5) Go to the directory where your widget is and click on it. Wait 30 seconds to 1 minute as different widgets take different amounts of time to install. Click install once the button appears.
6) Go to your home screen, click "Widget" at the top left, and your downloaded widget should be available for use.
credit:samsung wave Philippines