As you've already seen from the comments, you need a command prompt as stated on the Chocolatey web site:
To install chocolatey now, open a command prompt and paste the text from the box below and press enter
Command (or strictly cmd
on newer Windows versions), PowerShell and Bash all have very different syntax though they serve similar aims in many ways.
Chocolatey does use PowerShell but, as others have said in the comments, the initial kick-off is from a simple command prompt. The power of PowerShell is then used by Chocolatey to automate software installs and updates. It is a neat and powerful tool though as with many installer tools, it can serve up out-of-date software all too regularly.
I make extensive use of it though, especially recently when I've had to rebuild a load of development laptops quickly. Great way to install a load of standard software quickly and consistently & keep it reasonably up-to-date.