Trying to use open data source that provides REST API with no luck

This is my first time trying to use REST API as a data source and I really have no idea what I'm doing.

I'm using open data source provider's api as source:

https://data.fingrid.fi/open-data-api/#

I use two parameters in my query: pURL and pAPIKey.

let
    Source = Json.Document(Web.Contents(pURL, [Headers=[Authorization="api-key "&pAPIKey]])),
    messages = Source[messages]
in 
     Source

I get error message that my credentials are invalid.

• When I update credentials as Web API and use key that they have provided error message is that API key can only be specified when a web API key name is provided.
• Anonymous credentials gives me error that access is forbidden.

Can anyone suggest material where I can learn how to do this. Any query examples are also useful!

There are so many interesting data sources that I'd like to use but I cannot even manage to setup this one.