How to create data gateway personal mode?

Hi. I wanted to add a new data gateway but firstly, when I click "'Manage Gateway", it says that I don't have any data gateways and to download it first.

Then, when I click the download Data Gateway, it redirects me to this page. I have already download the personal mode a lot of times already. And by the way, when I click the 'Sign In' button, it redirects me to my Power BI Service page, and I don't need to sign in with my email and username. Why does this page keep on asking me to sign in when I never sign out?

I also sign in on this gateway, but it does not appear on the Power BI Service data gateway.