Additional SQL Server features and topics not covered by specific categories
If you are referring to https://microsoftlearning.github.io/PL-300-Microsoft-Power-BI-Data-Analyst/Instructions/Labs/01-get-data-in-power-bi.html [Note: It helps if you provide a reference so we don't have to guess] and you are doing the lab o your own computer and not in an offiical lab environment then you also need to follow the steps in https://microsoftlearning.github.io/PL-300-Microsoft-Power-BI-Data-Analyst/Instructions/Labs/00-setup.html and install SQL Server and import the database yourself.
Note: These labs are designed for instructor-led courses with a managed environment, not for individuals.