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Click next, take a coffee, and come back later.
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Yes, you can install without any internet connection
After several screen/reboot, the installer will complain that no internet connection can be found.
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By following this (https://www.makeuseof.com/windows-11-set-up-without-internet-connection/ ), we can skip this and continue installation.
Open a command prompt (using Shift + F10), and type OOBE\BYPASSNRO
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VM will reboot, and you can now continue installation without a network connection.