Issue when pulling Excel Data through OData Connector

Dear Community,

I am facing an issue when attempting to pull data from CDF into Excel through OData connector,
Main purpose is to have data pulled into excel & get periodically updated (+ historian)
As the Data from InField is required to be pushed into a specific Excel format for external reports.

However, the main issue is that after adding URL :
https:// westeurope-1.cognitedata.com/odata/v1/projects/{myProductionProject}

I immediately get the Navigator view ( no prompt to sign in yet)
 

Then once I try to get any data, the login pop-up window is there, but is rejecting all authentication methods:

for both current & alternate credentials
 

and this is for all levels of the URL -
For Web API Key Value, I wasn’t too sure where to get it from

To note, I know I have the required access, as I can pull data normally in PowerBI REST API,
Please advise, does the organization that has that  project need to add anything on azure ENTRAID side to allow this? or is it a different mistake I am making?