We couldn't connect to your DirectQuery data source or internal model

Hi IanCockcroft 

First please make sure you install the lastest version from this site instead of MS Store,

also check the system requirements for installing and using power bi desktop.

Please launch Power BI Desktop as an administrator(right click on the power bi app, then select "run as admin"), and then making the SQL Server connection.

More suggested solutions here to errors when using power bi desktop for first time.

As said in the thread, you may check and modify configurations on your server.

There is SQL Server Analysis Services (SSAS) instance behind each PBI file (new or existing one). Your error is 99% related to this SSAS engine. 

One of cases can be that your firewall, brandmauer or anti-virus is blocking it. Refer to these links:

1.  https://msdn.microsoft.com/en-us/library/ms174937(v=sql.110).aspx 
2.  https://social.msdn.microsoft.com/Forums/sqlserver/en-US/e3a5f79d-8c7d-40e1-b726-b7bf0dd828d3/a-conn...