Please follow https://docs.microsoft.com/en-us/data-integration/gateway/service-gateway-install in order to install on-premises data gateway on the target SQL server(s). Note when adding multiple gateways to a cluster, all gateway nodes must be always online to ensure performance is not impacted. Also note that when removing a cluster, you must manually uninstall the on-premises gateway from each server before it will allow you to remove the gateway from the web portal.
Visit https://app.powerbi.com/home and click the gear symbol followed by Manage gateways.
Select the gateway you installed on the SQL server earlier followed by selecting Add Data Source and specify the Data Source Name, Data Source Type, Server, Database, Authentication Method, Username, Password and click Apply.
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