Open Power BI Desktop and go to your data source settings. You should then be able to configure your connection to the data.
However, options will change according to which type of data source you're using to "get data." Here's a view from the SQL Server I use, for work:
For our SQL Server, we authenticate through windows. For SharePoint repositories (for example): We use our Microsoft account to authenticate. Previously, I was pulling data from a MongoDB ODBC--which required a username/password.
Also--Make sure you've added the System DSN/User DSN in your ODBC Data Source Administrator (if this were the case).