How did your admin share the gateway to you? Adding you as the Administrator or User of the gateway? Please check these information:
1 The server name and database name are correct
2 The credentials of the data source are correct
3 Select the enterprise gateway in dataset setting pane and map the dataset to related data source in the Gateway
4 The status of the SQL Server is running
5 The connection between data source and Service are not blocked by the Firewall
6 The status of the each gateway cluster member is online in Power Platform>Data Preview
7 Update each gateway cluster member to the latest version
If you still have any question, please don't hesitate to let me known.
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