@herb_fargus I see. I was going to modify the Wiki script to send a browser User-Agent with the wget download command, but in this case I better not.
@pyterj Unfortunately it seems the download site doesn't allow direct download of the games, so you'll have to find a way to install them yourself. Sorry about that - as @herb_fargus said, there is a reason this script is not included in RetroPie proper and we can't get around that.