Failing to connect to an SQL database in Power BI Desktop

Hello 365DataScience Team,
in your course (Power BI), when trying to reproduce your steps when connecting to SQL Database for the first time, many people gets error:

Details: "Microsoft SQL: A network-related or instance-specific error occurred while establishing a connection to SQL Server. The server was not found or was not accessible. Verify that the instance name is correct and that SQL Server is configured to allow remote connections. (provider: Named Pipes Provider, error: 40 - Could not open a connection to SQL Server)"
I have MySQL already installed, but I fail every time when trying to connect.

Also, the first time when trying to connect to an SQL database, the credentials window shows up.
I tried many things, took me 2 hours looking for the solution on the internet and I am stuck at the beginning of the course. For now, I am just hoping to find the solution.

Could you address this issue, please? Many people have the same problem.
Best,
Maros Jevocin