Wicd is included in Debian Sid, so you can just use apt-get install to get it.
You can also use the apt repository. Just add the following line to your /etc/apt/sources.list
where lenny is your version of Debian in lowercase (lenny, sid). You'll also need to add the key used for signing Wicd by running the following command in a terminal:
deb http://apt.wicd.net lenny extras
Now you can
wget -q http://apt.wicd.net/wicd.gpg -O- | sudo apt-key add -
apt-get install wicdto install Wicd. If you are using Lenny and you use Madwifi, make sure to use wext in Wicd.