1. Go to the respective workspace.
2. Go to dataflows
3. Click on the create button and select Dataflow.
4. Click on the entity and select the data source.
5. Enter connection information.
6. Once connected, you can see list of available documents to use as an entity.
you can use a dataflow editor to shape or transform that data into the format necessary for use in your dataflow.
See below docs page for more information
https://docs.microsoft.com/en-us/power-bi/service-dataflows-create-use