I believe I had chosen an installation of Mathematica 13.1 with the Documentation. However, when I click on a command, it takes me to web page. That did not happen with previous version of Mathematica.
I read this answer to a similar question and launched M-WIN-Documentation.en-us-13.1.0-7806817.msi, but that process just exits without a trace just after "Gathering required information ...".
What can I do to get the Documentation locally, so that clicking on a command would open the corresponding help notebook on my computer?
Added in response to closing the question: I have contacted Wolfram support and received a response from them, which was utterly useless. What was really useful is the answer by Nasser on this page, which may be useful for other users as well. Therefore, I ask that the question be re-opened.