Today I connected to SAP BW using the connector available in Power BI Desktop. Following link does a good job explaining the steps:
https://powerbi.microsoft.com/en-us/documentation/powerbi-desktop-sap-bw-connector/
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.
business intelligist 
This is gold. BTW, any system that makes you install things directly into C:\Windows\System32 is a bit messed up. They should either figure out how to automatically or something.
I don’t think you need to place those files in c:\windows\system32. You can also place them in the \bin directory underneath your Power BI installation directory, or any lolcation with an appropriate PATH environment variable…
Hello BF, Can you please expand on your explanation. Where should I be setting the environment variables ?
Nice to know. Thanks!
This time around I dropped the dlls in \bin directory underneath your Power BI installation directory and it worked! Thanks
I can chose one ore more cubes of SAP and click on load but always get the error massage: timeout during allocate /CPIC-CALL:`ThSAPCMRCV´
Hello Team, I have a requirement to connect from Microsoft BI to SAP BW.
Can I follow the above steps of copying the SDK libraries in the c:\windows\system32 folder and then start to use Power BI to get the “GET DATA” dialog box to select SAP Business Warehouse Server.
However I have got few queries:-
1) Are there any SAP license implications to be considered whilst installing the SAP BW connector on local desktops.
2) What type of user is required to communicate between Microsoft BI and SAP BW?
3) Is there a license cost to this user ?
4) Are there any environment variables that need to be set up as part of the configuration ?
This post saved the day. Just copy the dll files into C:\Windows\System32 in the machine which Power Bi Desktop is installed and voilà!