Only problem is if your library is more than just a few files (e.g.: Ruby's RMagick requires you separately install ImageMagick; any Arc bindings to ImageMagick would require similar). Still, this is absolutely great! It seems so obvious and easy I'm surprised no other languages (that I know of) have it.
Presumably forward slashes in URL's would need to be changed to backslashes to store the library file in the lib directory with the corresponding path. (MzScheme has some platform-independent path manipulation procedures that could be used if they turn out to be convenient).
Also, is there a version of wget for Windows? What are the instructions for installing it that should be added to the lib documentation? Would the lib code need to invoke wget differently?
There may be some other things too, those are the ones that occur to me off the top of my head.