Hi There - thanks for posting your question. You must install the on-premise data gateway to use the Power BI refresh Service. Also, on the computer/server where the MS Data Gateway is installed and configured, you must also have the MongoDB Connector and ODBC Driver Installed. You can download both of these from our download center.
Here are some instructions that should help you through that:
Once the Gateway is installed and configured, you then go into the Power BI Web settings for the data set and attach the Gateway. Then you can refresh on demand or on a schedule.