Another easy and fast method without any third party applications:

Press WIN + R to open Run dialog, type control inetcpl.cpl and click OK to open Internet Properties. Select Connections tab, click LAN settings:

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Select Use a proxy server for your LAN, set it to local host IP 127.0.0.1, click OK to save proxy settings:

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Now the Internet is totally blocked but local network connections will work as usual. Takes less than 10 seconds to do. To enable Internet again, just reverse the process unchecking proxy.

Kari