Sharepoint Folder - Accessing an external sharepoint (not owned by my company)

Hi, let's see if someone can help me handle this issue. 

I am trying to access a sharepoint folder located in my client's account. I have been granted access and I can see the folders in the web browser. However, I cannot make it happen to get data from the sharepoint folder with Power Query or Power BI. To make it more private I will use the example of this post, which is actually the same.  

I have tried: 

1) to directly point the folder:  https://powerbipanama.sharepoint.com/sites/externalsales/

2) to point the sharepoint: https://powerbipanama.sharepoint.com

With the following error message: "We couldn't authenticate with the credentials provided. Please try again."

I use my companies credentials which is a office 365 account.  Is it maybe that I do not have the proper credential granted to access my client's sharepoint? What are the credential I should have?

I need to access my client's files, the Sharepoint is my first idea if we can make it happen.

Thanks in advance!