You do not need internet when running the installer from DVD or USB. WiFi is not supported by Proxmox but you can set it up yourself (after installation) using the Debian documentation (see other threads about WiFi on this forum).
I guess you are right. But If I get a cable long enough to the PC, how will my router be connected? Or should I use one of the ports on the back of the router to go directly to the PC? Sorry for the dumb questions, I'm very new to this.