Can we install a firewall between your router and computer to block the connections?
Only if you don't really want to use the Internet. . . You can also turn off the computer completely.
No, you would apply rules in your router console, blocking Microsoft’s IP addresses.
I have a VM of Win7 that I play around with occasionally. I’ve considered letting it update to Win10, then start it back up with all networking removed from the VM just to see how long it will run before it chokes and dies.