Select in the ribbon the option “Data”
Select “Get Data”
Select the option “From Database” and then “From SQL Server Database”
A small window will pop up, here you need to introduce the Server URL and the name of the Database even it is said to be optional.
Go to “Database” and add the credentials given.
Select one by one the tables you need.
Once you select the table you can “Load” into Excel or choose “Transform Data” to apply changes in Power Query.