PowerBI is the primary business intelligence tool for D365 so when you setup your instance of D365 you will have to go an configure the connection between the two. You can see a written set of notes on the help wiki here
Configuring Power BI integration for workspaces
Here is a quick overview.
D365FO 1611 – Update3 (7.0.4307.16141)
It’s referenced in the wiki notes but you the website used in the video to setup the client id is