Using Web option to get data

Hello Rnaval 

it treats the page as a webpage, not a file directory, so even though files show up in the Navigator, they cannot be selected or loaded properly. If the URL is a SharePoint or OneDrive location, switch to Get Data > SharePoint Folder instead, using the root site URL rather than the Web connector, which will give you a proper file level Navigator where individual files are selectable. Also check that you're authenticating with an Organizational Account rather than Anonymous, since a credential mismatch can silently break file previews and make items appear unselectable. If it's a genuine public webpage listing files (not SharePoint), you'd need to extract the file links manually via Power Query Advanced Editor using Web.Contents() for each file, since the Web connector Navigator only picks up detected HTML tables, not individual linked files.