I'd like to install a certain python package with pip but because of the proxy I am sitting behind pip cannot connect to the internet.

So my question is: Where does pip look for .whl files in order to download them? Can't I just use my browser (which can connect to the internet just fine) to download the .whl file? Installing the package with the downloaded .whl file would be not a problem then.

pip searches the Python package index (PyPI), each package lists downloads (including wheels, if there are any) with a direct download link on the page. Package pages have the form of https://pypi.python.org/pypi/<package_name> or https://pypi.python.org/pypi/<package_name>/<version> for specific versions.

If you can only download wheels manually with your browser, it doesn't matter where you put the wheel file. Just install the wheel file directly:

pip install path/to/wheel.whl

However, pip supports downloading over a proxy just fine:

pip --proxy username:password@proxy_server:proxy_port install ...

See the --proxy command line switch documentation. You can add the proxy setting to a pip configuration file so you don't have to set it on the command line each time, or by setting environment variables; see the Using a Proxy Server section in the Pip User Guide.