I followed the steps shown in the video and after naming the server as localhost a message came up, I didn't pay much attention(my bad..), so I just clicked ok and then a error come up. To solve that I unistalled/reinstalled Power BI, but it didn't change the outcome. Any ideas ? Thanks in advance.

I think you have to create the server first before you try to connect to it. They do not show the steps of how to do that here.

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