Install PowerShell 5.0, Nuget and download cmdlets behind proxy
Install Windows Management Framework 5.0 (WMF)
Go to the Microsoft Download center, download Windows Management Framework 5.0 from this link and install it. The installation requires reboot of the PC. After the reboot open the PowerShell command shell window as administrator and verify the version of the installed PowerShell.
The output should be similar to what I have below:
Set up proxy credentials
What I did to make it work for me is executing those two commands.
It is clear from my previous statement that I am not sure what this does. Of course as a hardcore true ninja developer I just used my most advanced skill, Copy-Paste indeed. Here is the link to the source. If you truly want to understand what it does, you can visit this link or this link.
Install the Nuget package provider
Check if nuget is available in the package providers by running the following command.
If the above output is your case and nuget is not presented, you have to install it.
Here is my successful installation output:
Almost there, register the default repository for PowerShell modules
My attempt to install SharePointPnPPowerShellOnline failed again after the above steps so I had to also register default repository:
Finally, install the SharePointPnPPowerShellOnline module
Good to go! Have fun with the PnP-PowerShell cmdlets.
P.S. If you experience error 'UnauthorizedAccess,Microsoft.PowerShell.Commands.ImportModuleCommand' when running the SharePointPnPPowerShellOnline module then you may need to change the PowerShell execution policy.
Don't forget this for TLS 1.2