refresh my data

The problem is not your power bi files but your data source. The Power BI files are already in the cloud. They are trying to refesh data that is not in the cloud. Assuming you're trying to refresh data from an on-premise database, Power BI needs to reach that database. Your database isn't in the cloud, so you need a gateway in order to reach it. The location of the Power BI file is irrelevant to whether or not your database is accessible.

I suspect the problem is simply in the way you installed the gateway. The gateway is the bridge between the Power BI files in the cloud and your non-cloud data source. There are two ways to install it, and it looks like you've used the way that requires manual log-in. When you install the gateway you need to run the installer as an administrator (right click, Run As Administrator). This sets it up to run as a service, which means it is always accessible as long as the computer is on, no matter who is or isn't logged onto it. If you do not do this, you must log on as the user who installed the gateway, and then log into the gateway itself in order to allow refresh, which appears to be what you're dealing with now. So you'll need to uninstall your gateway and reinstall it using the correct procedure. You should also take care when deciding where to install the gateway. It should be installed on a machine that is always on and reachable during scheduled refresh times. A laptop that you carry around with you, for instance, is not an appropriate choice. See the instructions here.