Yep, these proxy issues are frustrating but the solution is dead simple. Strangely, this is not documented anywhere on the texlive webpage.
2. Extract and locate the install-tl-advanced.bat file.
3. Add your proxy settings in the bat file.
echo Add proxys:
rem $Id: install-tl-advanced.bat 33536 2014-04-19 09:41:24Z siepo $
rem Public domain.
rem Originally written 2009 by Norbert Preining.
rem Start installer in advanced (perltk) mode. This is here so that
rem it can easily launched from the normal Windows GUI, not just the
rem command line.
call “%~dp0install-tl-windows.bat” -gui perltk %*
4. Open an elevated command prompt (i.e as Administrator) and execute the batch script.
5. Boom and you are welcome 🙂