You will just need to set up a distribution server (essentially a Windows share to hold your patch & data files), and then change the setting in the Agent Policy > General Settings > Engine, data, and patch download location to 'Distribution Server'. If you leave the checkbox for 'Use vendor as backup source' it will still try to reach out to the internet in case agents can't get the files from your distribution server. Uncheck this if you want to stop it from going to the internet at all.
One thing to be aware of when using a distribution server is that it's important to keep it up-to-date and synchronized at all times.
The following documentation should be helpful:
I hope that helps! Let me know if you have any other questions.