This is a double barrier. The VPN blocks app installation, and your laptop's Wi-Fi might be off because it's on Ethernet. Here's how to work through it.
First, you need to disconnect from your company's VPN. You can't install HP Smart from the Microsoft Store while connected to a VPN. Once you're off the VPN, install the HP Smart app.
Second, even though your laptop is plugged into Ethernet, you need to turn on its Wi-Fi radio. The printer setup needs Wi-Fi to communicate. You don't have to unplug the Ethernet cable; just make sure Wi-Fi is enabled.
Then, move the laptop closer to the printer and run the setup in HP Smart. You can reconnect to the VPN after the printer is fully set up.
A note: Just consider your location and your Wi-Fi network's security before disconnecting from the corporate VPN.