I have node.js installed in my work machine and I want to experiment with express, but seems like internet access is blocked from the console (I'm using windows BTW).

Is there a way to download the express package and use a command for npm to install it from a local folder instead of internet?

As docs says, you can. You need npm install :

Install a package that is sitting on the filesystem. Note: if you just want to link a dev directory into your npm root, you can do this more easily by using npm link.

Example:

npm install ./package.tgz