Hi Wendy,
I'm not sure what the problem is exactly, but I wonder if you're trying to use Power BI Desktop to connect to OneDrive. That's not what I do in lesson 1.03. In that lesson I am using the Power BI Service (online in the cloud) and here you select Get Data > Files > OneDrive - Personal.
Note: I assume you have a OneDrive Personal account. When you first connect to your file from the Power BI Service (using Get Data > Files > OneDrive – Personal) you’ll need to sign in to OneDrive with your Microsoft account, which is usually different from what you use to sign in to Power BI. When signing into OneDrive with your Microsoft account, be sure to select the Keep me signed in option. This way, Power BI will be able to connect to your workbook file about every hour and make sure your dataset and reports in Power BI are in-sync.
I hope that helps, but let me know if you're still having problems.
Mynda