@Wilbur Tong​ 

Along with the steps mentioned by @Akash Bhat​ please try to follow the steps mentioned in below document:

https://docs.microsoft.com/en-us/power-bi/connect-data/desktop-connector-extensibility#custom-connec...

for downloading the pqx file mentioned in doc use the below link:

https://content.prod.powerquery.microsoft.com/api/certifiedExtensions/Databricks/1.1.3/Databricks_1....

when you are trying to follow the steps mentioned in this document make sure you revert all the changes regarding the custom properties if you have made any