PCC is the Pervasive control centre. You need to have PVSW installed on that machine. If you can't find PCC - it wasn't loaded during the base installation of PVSW. Go to your control panel, programs and features - right click pervasive and select change. Select modify and then when the Utilities menu appears, ensure you install the Java Utilities and the Pervasive Control Center, click next and follow the wizard. You should then have access to running "PCC" where you can create the databases.

No - you create a live link to the pervasive database - you won't need to copy the data to another DB and refresh it. As far as I am aware, when you run/refresh the report in PBI, it pulls the latest data from the DB again.