If you do not have Chocolatey, you can install it by following the instructions on chocolatey.org. You may also see this post for instructions on how to set the Chocolatey cache location.
In short, Chocolatey is a package manager for Windows which saves time by automating otherwise manual installation tasks. You can install Chocolatey by following the instructions on chocolatey.org.
Also by default, Chocolatey will download packages in C:\Users\USERNAME\AppData\Local\Temp\chocolatey which might work or not for you. If you need to use a different folder, you can set the cacheLocation key in C:\ProgramData\chocolatey\config\chocolatey.config to a folder of your choice.
For example, to use C:\ChocolateyCache as a cache folder, add <add key="cacheLocation" value="C:\ChocolateyCache" description="Cache location if not TEMP folder." /> to the chocolatey.config file like this:
<?xml version="1.0" encoding="utf-8"?><chocolateyxmlns:xsd="http://www.w3.org/2001/XMLSchema"xmlns:xsi="http://www.w3.org/2001/XMLSchema-instance"><containsLegacyPackageInstalls>false</containsLegacyPackageInstalls><commandExecutionTimeoutSeconds>0</commandExecutionTimeoutSeconds><config><addkey="cacheLocation"value="C:/ChocolateyCache"description="Cache location if not TEMP folder."/><addkey="containsLegacyPackageInstalls"value="true"description="Install has packages installed prior to 0.9.9 series."/><addkey="commandExecutionTimeoutSeconds"value="2700"description="Default timeout for command execution."/><addkey="proxy"value=""description="Explicit proxy location."/><addkey="proxyUser"value=""description="Optional proxy user."/><addkey="proxyPassword"value=""description="Optional proxy password. Encrypted."/></config><sources><sourceid="chocolatey"value="https://chocolatey.org/api/v2/"disabled="false"priority="0"/></sources><features><featurename="checksumFiles"enabled="true"setExplicitly="false"description="Checksum files when pulled in from internet (based on package)."/><featurename="autoUninstaller"enabled="false"setExplicitly="false"description="Uninstall from programs and features without requiring an explicit uninstall script."/><featurename="allowGlobalConfirmation"enabled="false"setExplicitly="false"description="Prompt for confirmation in scripts or bypass."/><featurename="failOnAutoUninstaller"enabled="false"setExplicitly="false"description="Fail if automatic uninstaller fails."/></features><apiKeys/></chocolatey>