If you are getting them from the Play Store then I'm afraid it doesn't work that way. You can however select apps from the Play website (play.google.com) and then install them from there - then they will be downloaded and installed directly to the device (not to the PC).
Otherwise, if you do have apps from another source (make sure it's a trustworthy one - the "paid apps for free" sites contain a lot of malware) then you can just copy the apps to your device over USB and use any file explorer to install them (just click on the apk file and it will start the installer).
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