Soheil Bakhshi has a great step-by-step walkthrough for setting up Azure Purview:
Microsoft newly announced a piece of very exciting news that Azure Purview now supports Power BI. This is massive news from a data governance point of view. Azure Purview is the next generation of Azure Data Catalog with more metadata discovery power and the ability to use sensitivity labels. After reading the news, I immediately decided to set up my test environment and give it a go. I followed the steps mentioned in this article on the Microsoft documentation website but I faced some difficulties to get it to work. And here we are, another blog post to help you to set up the Azure Purview for Power BI.
Click through for a detailed walkthrough.