This is a example on my laptop. I work with Oracle on my local machine:

Needs["DatabaseLink`"]
Needs["JLink`"]
$connection=OpenSQLConnection[JDBC["Oracle","localhost:1521/aaaa"],"Username"->"bbbb","Password"->"cccc"]

'aaaa' is the name of the database 'bbbb'/çcc' is my password & username to connect to my local database.

And then I can make my first SQL statement:

var=SQLExecute[$connection,"select * from tabelname  WHERE ROWNUM <= 972"];

-Mysql I tried https://www.mkyong.com/jdbc/how-to-connect-to-mysql-with-jdbc-driver-java/ to transform to Mathematica but It failed.

OpenSQLConnection[JDBC["MySQL(Connector/J)", "locahost"], 
 "Username" -> "xxxxx", "Password" -> "xxxx"]
JDBC::error: Access denied for user 'name@'localhost' (using password: YES)

Password is correct, but I have read only access. So I do not know if this is the reason why it failed.

We use also Power BI.

what is the file format?

Can you import the file with Import[]