If you are fortunate enough have a direct Internet connection, or sit behind a transparent proxy, simply follow the default installation instructions.
If your target machine is behind a proxy, and your Windows networking is configured with the proxy settings, the installation method is slightly different...
Set-ExecutionPolicy Unrestricted
$wc=new-object net.webclient; $wp=[system.net.WebProxy]::GetDefaultProxy(); $wp.UseDefaultCredentials=$true; $wc.Proxy=$wp; iex ($wc.DownloadString('https://chocolatey.org/install.ps1'))
@powershell -NoProfile -ExecutionPolicy unrestricted -Command "$wc=new-object net.webclient; $wp=[system.net.WebProxy]::GetDefaultProxy(); $wp.UseDefaultCredentials=$true; $wc.Proxy=$wp; iex ($wc.DownloadString('https://chocolatey.org/install.ps1')) >$null 2>&1" && SET PATH=%PATH%;%ALLUSERSPROFILE%\chocolatey\bin