Power BI First Time to install on MS cloud server

I have done few Desktop Power BI reports recently

The organisation I work for have bought Power BI Licenses

Now I became responsible for installing and configuiring Power BI on MS cloud server.

I have never done that.

Now I don't where to start and what to do.

As part of my research on the subject I got that there should be a Data Gateway (don't know  what it is and what it does) and not sure what kind of cloud server needed ( is it Azure?, or some other MS Power BI Cloud Servers?)

What else beside that?

The structure we are looking to implement is like this

at the moment we have some Power BI Desktop Reports, these reports need to go to cloud but to access our database for each request "Direct Query" (no data will remain on the cloud server)

Does anyone have information about this structure and what are the steps of installing and configuring these servers/gateways/reports