There are three steps to get up and running with a Contoso Retail Datawarehouse that you can use for experimenting with Power BI.

Step 1. If you don’t already have access to an installation of Microsoft SQL server you can install one on your local machine.

There are 2 free non-production versions available:

Microsoft SQL Server Express – This includes just the database engine required to get up and run with the database.

Microsoft SQL Server Developer – In addition to the database engine, this also includes SQL Server Analysis services, reporting services, integration services, and Machine Learning services. It’s over a GB, so a larger installation than the Express version. Of note, Analysis services is included in the Developer version, so it’s useful to install this version.

Microsoft SQL Server Express and Developer versions are available with instructions here.
Installation is very straightforward, just follow the instructions.

Step 2. Install SQL Server Management Studio (SSMS). You will use this tool to connect to the SQL Server installation and run queries on the database.
You can also download this from Microsoft – here.

This is the connection information for connecting to the SQL Server developer on my local machine. Note for me if I use localhost\MSSQLSERVER for the server name I get an error. It works on localhost only

For further troubleshooting, if you open the services app, you can check that services are running and start as required (Run > Services.exe)

If you connect ok, you should see a screen like this one. You only need to worry about the Databases folder, so don’t worry about all the other stuff for now. Note: This is the Developer version, the Express version, will be slightly different.

Step 3: The Contoso Retail Datawarehouse database can be downloaded from Microsoft here.
There are two files: ContosoBIdemoABF.exe and ContosoBIdemoBAK.exe .

The ContosoRetailDW.bak file is the raw database, which you can get started with and only requires the database engine (which is included in SQL Server Express).

The ContosoBIdemoABF.exe is the OLAP version of the database, which requires SQL Server Analysis Services. For this, you will need either a full version or the free developer version.

To install the first file. Connect to the SQL Server Database Engine (Open SSMS and select database engine). Right-click on Databases and select ‘Restore Database’.

Select Device from the next screen.

You can then select ‘Add’ to add the file. I placed the ContosoRetailDW.bak file in my C: drive to make it easier to find:

Then just select the file and click OK, OK, and if all goes well, the database will be restored.

Now to check it is really there, just return to the main screen, spin open the ContosoRetailDW database, and check the table is there.

Now you can start running some queries against it and you can connect the Power BI desktop to it.