I have a url that when I type it in MS Edge, it will download an xls file, after I have logged in via a form to this domain/website.
How can I load this xls file into PowerBI by just using the cookie from MS Edge without having to re-authenticate? Ie. just download the xls via PowerBI as I do via MS Edge?
I tried various types of authentication and none seems to work as it shows the login webpage in the web preview.
You won't be able to do this via PBI. The cookie created in Edge (or another browser) is for that browser, it isn't accessible from within Power BI.
You could use VBA to enter credentials into the form, see this blog post for an example
Web Scraping Filling in Forms With VBA
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