Hi Bharath,
The Azure CLI is installed via an MSI or a ZIP package, which gives you access to the CLI through the Windows Command Prompt (CMD) or PowerShell.
After the installation is complete, you will need to close and reopen any active terminal window to use the Azure CLI. Install or update.
Please check you are running the installer with administrative privileges. Right-click the installer file and select Run as administrator.
Check your proxy is blocking the connection, make sure that you have your proxy properly configured.
Please find the below document for your reference:
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Thank you.