download the *.exe file to the external... just don't install it on it was my suggestion
The *.exe file contains a *.msi and a *.cab file. copy the *.exe file to your local PC, then double-click on it it will ask yoiu where you want to extract the files... do that, then when the files are extracted to a folder, double-click on the *.msi file to begin the installation process.
I install in a separate folder
c:\arcgis_pro
is a pretty obvious place and not in c:\Program files\blah blah or words in the c:\Users\don't_install me here\