Paulina Nowinska shows how to install the Power BI Gateway in its two separate modes:
This On-premises was created for a multi-developer environment. Here multiple people can work on the same Data Gateway if the administrator authorized them before. With this Data Gateway, you will have much more fun than Personal Mode. Why? Because of on-premises support not only Power BI just like his brother Personal Mode. Here you can provide quick and secure data transfer between data which is not in the cloud and Microsoft cloud services: PowerApps, Microsoft Flow, Azure Analysis Services, and Logic Apps and of course Power BI. Depending on your needs, you can choose one of them.
Click through for step-by-step instructions on both techniques.