Move the .pqx file to %userprofile%\Documents\Power BI Desktop\Custom Connectors. You can remove the .mez file if it exists.
Microsoft's documentation on how to trust connectors for Power BI can be found here. The certificate thumbprint can be found in the thumbprint.txt file in the powerbi subdirectory.
Alternatively, you can run the trust-connector.ps1 script as administrator to automatically modify the registry on your machine.