The first thing I did was to install the ODBC Drivers.
I installed the 64bit drivers where I had my Power BI Desktop installed, and I also installed it on all the Servers where I had the On-Premise Data gateway installed.
Below is the link that I used which should always be the latest version
https://sfc-repo.snowflakecomputing.com/odbc/win64/latest/index.html
One thing to note is all that I did was I installed the ODBC driver I did not actually do any configuration of the ODBC driver, this is because it will be configured in Power BI Desktop.
Read on for the configuration instructions as well as getting past “it works in Power BI Desktop.”