Azure Files is Microsoft's easy-to-use cloud file system. Azure file shares can be seamlessly used in Windows and Windows Server.
To use an Azure file share with Windows, you must either mount it, which means assigning it a drive letter or mount point path, or access it via its UNC path.
Reference:
https://docs.microsoft.com/en-us/azure/storage/files/storage-how-to-use-files-windows

Reference:
https://docs.microsoft.com/en-us/power-bi/connect-data/service-datasets-across-workspaces
https://docs.microsoft.com/en-us/power-bi/consumer/end-user-dashboardshttps://powerbi.microsoft.com/en-us
/excel-and-power-bi/

Reference:
https://docs.microsoft.com/en-us/azure/security/fundamentals/infrastructure-sql