Prerequisites for Cloud connectivity

Hey,

welcome to this forum!

Your question is a little vague for this reason I recommend you start with reading  the docs, that you will find here:

https://docs.microsoft.com/en-us/power-bi/desktop-what-is-desktop

Here you will find how to connect to Azure SQL DB:

https://docs.microsoft.com/en-us/power-bi/service-azure-sql-database-with-direct-connect

Hopefully this gets you started.

Regards,

Tom