Permission denied error while using wget

I am trying to install Anaconda on WSL in the /mnt/c/Windows/System32 directory and use the following command:

sudo wget https://repo.anaconda.com/archive/Anaconda3-2019.03-Linux-x86_64.sh

However, I got an error in the result (here is the output in the terminal):

--2020-07-06 14:36:43--  https://repo.anaconda.com/archive/Anaconda3-2019.03-Linux-x86_64.shResolving repo.anaconda.com (repo.anaconda.com)... 104.16.131.3, 104.16.130.3, 2606:4700::6810:8203, ...Connecting to repo.anaconda.com (repo.anaconda.com)|104.16.131.3|:443... connected.HTTP request sent, awaiting response... 200 OKLength: 685906562 (654M) [application/x-sh]Anaconda3-2019.03-Linux-x86_64.sh: Permission deniedCannot write to ‘Anaconda3-2019.03-Linux-x86_64.sh’ (Success).

It seems that some special access right to download with wget is required to be specified (please, correct me if my understanding of the problem is wrong here).

How to solve the issue?