bash 4 provides a hook for handling a "command not found" error. In this case, http://example.com/file.webm would not be a valid command, so define the following function in your .bashrc file:
command_not_found_handle () {
if [[ $1 = http://*.webm ]]; then
wget "$1"
else
return 127
fi
}
When you attempt to run your URL as a command, command_not_found_handle will be called with the URL as the first argument. The function checks if the command name matches a webm URL, and if it does, runs wget with the URL as an argument. (For any other unrecognized command, just return 127, a the command is still unrecognized.)
bashorzsh, then you may get an answer for how it may be implemented in that shell.