Open Power BI or Excel, and select Data tab.

1. Go to Get Data->From Database->select From SQL Server Database.

2. Key in the Server and Database name as below.

3. Make sure the database connection in Windows, unticked Encryption, and select Privacy Level in Organizational.

4. Select relevant data table then click "Transform Data"

5. Continue data extraction with flitering and etc in Power Query Editor.

6. After configure the applied steps, click Close and Load the data to Excel or Power BI.