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Connect to company's cloud service remotely via VPN

This is a general question about how to connect Power BI to a Cloud data source via a company from a remote location using VPN.

I have to retrieve data using the Power BI Amazon Redshift Connector but need to do so via VPN. I assume it will be necessary for me to VPN in to the company but I’m a bit unsure about how this has to be set up and how it actually works.

Hope you can provide some guidance on this.