I found myself configuring for the first time a new Windows 11 laptop for a client. I was used to configure the initial account in other Windows versions as a local user. This time the setup of Windows 11 without a Microsoft account was very tricky.
After having a beer in one of my favorite bars in New York city I found a way to get around this confusing setup.
I tried the old fashion way to manage Windows users and I ran:
lusrmgr.msc
I got the usual screen which is funny because this is Windows 11 and NOT Windows 10. See what it says on the Local Users and Group screen:

Finally, I found a quick way to setup Windows 11 without a Microsoft account.

I like the command prompt in either Windows or Linux or whatever system I touch.
At the setup screen in Windows press Shift + F10 shortcut. This will open a command prompt. Next, we need to release the network configuration we setup in the previous screen by running this command:
ipconfig /release

You need to close the Command prompt then quickly click on the Back button/arrow. Windows will now show you the ‘Who’s going to use this device?’ screen. This will be a local user. Enter your desired username, press Next and then enter a password for this new local user. You will be prompted for the usual privacy settings.