Download files and create same file structure as the source

From man wget:

-x, --force-directories:

[...]

create a hierarchy of directories, even if one would not have been created otherwise. E.g. wget -x http://fly.srk.fer.hr/robots.txt will save the downloaded file to fly.srk.fer.hr/robots.txt.

To get the structure you are asking for, I would suggest using -nH as well as -x.

This will remove the hostname as well as create the expected directory structure.

e.g.

wget -x -nH http://xyz.abc.com/Dir1/Dir3/sds.exe

- 'Dir1/Dir3/sds.exe' saved [1234]

From the man page:

-nH
--no-host-directories
   Disable generation of host-prefixed directories.  By default, invoking Wget with -r http://fly.srk.fer.hr/ will create a structure of directories beginning with fly.srk.fer.hr/.  This option disables such behavior.

-x
--force-directories
   ...create a hierarchy of directories, even if one would not have been created otherwise...