Browse to the location where the .wgt file is using the file manager
Use the "Open With" option and choose Windowswmwidgetinstaller.exe
Widget should begin installing
Other i.e. cooked rom without Widget Engine
Download and install enable_widgets_wm6.5.cab (Download), which will updates your phone with registry settings for widgets.
Try installing the wgt file now.
If it does not work, try the Samsung Method.
If the file "Windowswmwidgetinstaller.exe" exists does not exist,
You do not have the Widget Engine installed in your rom. You should find a rom with the whole package or try add_widget_engine_v2.cab (Download). This will install all the required files and registry entries