Power BI Desktop saves a data source credential, or sign-in identity, for each data source connection used. These credentials and settings are not stored in the PBIX file but rather on the local computer specific to the given user.

An authentication dialog specific to the data source is rendered if the user hasn't accessed the data source before or if the user has removed existing permissions to the data source in Power BI Desktop's Data source settings menu. In the following example, an Sql.Database() M query function references the AdventureWorksDW SQL Server database on the ATLAS server.

In this scenario, the user has not previously accessed this data source (or has cleared existing source permissions), and thus executing this query prompts the user to configure the authentication to this source as shown in the following image:

Most relational database sources have similar authentication options. For SQL Server, the user can choose between the default Windows-integrated authentication (that is, Use my current credentials) or database authentication if the database is in Mixed Mode. Additionally, the credentials can be saved exclusively to the specific database or be reused for other databases on the same server.