I have a dir which I can access from my windows machine goes like
\\servername\directory and I can see all the files in there, is it possible that I can wget or something those files inside this directory to my remote linux machine, both of these windows and linux machines are remote.
The easiest option is to use Samba to access the Windows share from your Linux system.
On most modern Linux systems, you can mount a samba share as:
(note the single quotation marks, and that the backslashes in the server designation are converted to forward slashes). The last part "-o..." is optional, only necessary if you need to authenticate to the share, then you need to specify logon domain+username. You will then be prompted for a password.
Most Linux systems also have a graphical way to access this (e.g. network display in Ubuntu).
After mounting, the remote directory will appear like a local directory to you.
If this does not work for you, please edit your question with more details.