Today I connected to SAP BW using the connector available in Power BI Desktop. Following link does a good job explaining the steps:
Ran into a road block while installing SAP Netweaver RFC SDK library.
With the help of bases team I downloaded SAP Netweaver SDK library. However there is no explanation as to where/how this has to be installed. After a lot of trial and error figured out that I needed to copy all the dll files available in SAP Netweaver SDK to C:\Windows\System32.
FYI – I downloaded 64 bit version of the SDK and 64 bit version of Power BI Desktop.