Microsoft's documentation explains how winget can be installed through the Microsoft Store. But it is also possible to install it with PowerShell. The following script shows how this can be done. To run it, type "PowerShell" into the Start menu, right-click on the top result and select "Run as administrator". Then paste the script into the console and press Enter.

# Get the download URL of the latest winget installer from GitHub:
$API_URL = "https://api.github.com/repos/microsoft/winget-cli/releases/latest"
$DOWNLOAD_URL = $(Invoke-RestMethod $API_URL).assets.browser_download_url |
    Where-Object {$_.EndsWith(".msixbundle")}

# Download the installer:
Invoke-WebRequest -URI $DOWNLOAD_URL -OutFile winget.msixbundle -UseBasicParsing

# Install winget:
Add-AppxPackage winget.msixbundle

# Remove the installer:
Remove-Item winget.msixbundle

If you get an error that the framework "Microsoft.UI.Xaml.2.7" could not be found, then you can use the following commands to install it:

Invoke-WebRequest `
    -URI https://www.nuget.org/api/v2/package/Microsoft.UI.Xaml/2.7.3 `
    -OutFile xaml.zip -UseBasicParsing
New-Item -ItemType Directory -Path xaml
Expand-Archive -Path xaml.zip -DestinationPath xaml
Add-AppxPackage -Path "xaml\tools\AppX\x64\Release\Microsoft.UI.Xaml.2.7.appx"
Remove-Item xaml.zip
Remove-Item xaml -Recurse

If you then get another error that the framework "Microsoft.VCLibs.140.00.UWPDesktop" could not be found, then you can additionally use the following commands to install it:

Invoke-WebRequest `
    -URI https://aka.ms/Microsoft.VCLibs.x64.14.00.Desktop.appx `
    -OutFile UWPDesktop.appx -UseBasicParsing
Add-AppxPackage UWPDesktop.appx
Remove-Item UWPDesktop.appx

Then, repeat the initial commands.

Once you have followed the above steps, you can use winget on the command line. For example, to update PowerShell:

winget install --id Microsoft.Powershell --source winget

Remember to again run this with administrative privileges. If you want to execute it in PowerShell itself, prefix the line with an ampersand &.

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