For Windows Installation you must be connected to the internet. Moreover, if you are running behind a proxy server, you must have your proxy settings correctly configured. If they are not configured, or are incorrectly configured, the installer will terminate with the following message:
The installer cannot proceed with the current Internet Connection proxy settings. Please check the Installation Notes for more information.
If you see this message, check your proxy settings: From the Start menu select Settings ..., click Control Panel, double-click Internet Options, select the Connections tab, and press the LAN Settings... button.
If you don't know what the correct settings should be, check with your IT or system administrator.
The same message will appear if you're behind a proxy server requiring authentication. If that is the case, use the Windows Offline Installer instead. It is a complete installer that can be run offline once it has been downloaded.