wget ftp://something.com/*.jpg
but this will not
wget http://something.com/*.jpg
What do you do when you want to do this for an http server? A common case is where you have numbers for example, like
http://something.com/0.jpg
http://something.com/1.jpg
http://something.com/2.jpg
etc.
In this case the solution is
wget http://something.com/{0,1,2,3,4,5,6,7,8,9}.jpg
In this case the command will be repeated for all numbers and you get all 10 images in one go.