Magento – Magento 2: How to call Widget programatically

Widgets are specific to Packages/Themes and do not follow Magento's Hierarchy (Fallback) system from my experience.

Make sure the widget you've created is assigned specifically to the Package & Theme your Store/Store View has assigned under System > Configuration > Design.

IF you're using a Custom Design on a Product, Category, CMS Page, or design set in System > Design you'll want to make sure you are assign your widget instance to reflect the same value. Be careful though, you cannot easily reassign the Package/Theme of a widget instance in Magento's admin.

Take a look at http://www.magentocommerce.com/knowledge-base/entry/tutorial-creating-a-magento-widget-part-1

interface Mage_Widget_Block_Interface
{
    public function toHtml();

    public function addData(array $arr);

    public function setData($key, $value = null);
}

Since both Mage_Widget_Block_Interface and Mage_Core_Block_Abstract don't seem to have a implement setTemplate method try

class Sample_WidgetOne_Block_Digg
    extends Mage_Core_Block_Abstract
    implements Mage_Widget_Block_Interface
{

    /**
     * Produces digg link html
     *
     * @return string
     */
    protected function _toHtml()
    {
        return Mage::getSingleton('core/layout')->createBlock('core/template')->setTemplate('path/to/file.phtml')->toHtml();;
    }

}