When I heard about custom data connectors for Power Query, I had assumed there would be a lot of work involved. While there is definitely quite a bit of work in implementing advanced features like query folding, creating your very first connector is simple.
So, first you need Visual studio installed and the Power Query SDK installed as well. Once you do that, you will see Power Query as an option when creating a new project. Visual studio will also have support for .pq or Power Query files.
Click through for an example of the process in action.