Spider is a balloon-borne array of six telescopes that will observe the Cosmic Microwave Background. The 2624 antenna-coupled bolometers in the instrument will make a polarization map of the CMB with approximately one-half degree resolution at 145 GHz. Polarization modulation is achieved via a cryogenic sapphire half-wave plate (HWP) skyward of the primary optic. We have measured millimeter-wave transmission spectra of the sapphire at room and cryogenic temperatures. The spectra are consistent with our physical optics model, and the data gives excellent measurements of the indices of A-cut sapphire. We have also taken preliminary spectra of the integrated HWP, optical system, and detectors in the prototype Spider receiver. We calculate the variation in response of the HWP between observing the CMB and foreground spectra, and estimate that it should not limit the Spider constraints on inflation.