In there you can put your custom connectors files (.mez files) and then you can configure your gateway adding datasources with that connector. But sometimes it doesn't work. Microsoft gives you information that how it works in the next link: https://docs.microsoft.com/en-us/power-bi/service-gateway-custom-connectors
I tried that so many times and I really couldn't make it works, so if you are having the same issue as well please the following.
On computer you have installed your On-premises gateway please go to the next file
"C:\Program Files\On-premises data gateway\Microsoft.PowerBI.DataMovement.Pipeline.GatewayCore.dll.config"
Open it with your favorite editor like sublime, notepad++ or even Notepad. I would use Notepad++. Then go to MashupCustomConnectors variable and make sure that it is "True"
<setting name="MashupCustomConnectors" serializeAs="String">
<value>True</value>
</setting>
After setting it to True, restart your gateway and see if that works. (on the On-Premises data gateway in the service settings tab, click on Restart now)
To be honest I was spending weeks to fix this but now for me it work. Hopefully it will work on your side. Please let me know in the comments if that works for you or if you have any question I really hope you enjoy this post.
