There are many options.
What kind of report are you thinking about?
You need to know that you can't access D365 prod database with Power BI, so your report can't be based on SQL queries. Unless you use BYODB, export entities from your D365 to your own Azure SQL database, and report from that database.
If you want to connect directly to D365, you need to connect via OData. The OData endpoints are accessible from anywhere, so you don't need to install Power BI in your dev machine, instead install it on your own workstation. Or use the cloud version of Power BI. Then connect to yourD365EnvironmentURL/.../Customers to get customer data, and this same way you can access any public data entity.
OData is quite slow so you can't use it for heavy transactional reporting. In such scenarios you can use BYODB. Or export to Data Lake, which I believe is still in preview.
For more info, you can do web searches about the topics and technologies mentioned above.