Run the OSGeo4W .exe file and select the radio button next to Advanced Install:
OSGeo4W setup (choosing Advanced Install)
Step through the installation wizard. When you get to Select Packages, choose the version you require. In the following screenshot, I have selected 3.4:
OSGeo4W setup (selecting packages to install)
You can select other packages if required. Once you have chosen the software, click on Next and the installation will begin.