To store structure and unstructure data from Power BI, you can create a LakeHouse by following the below steps.

1. Navigate to your Power BI > Workspaces > select New workspace > Configure your new workspace > then Apply.

2. Navigate to the new workspace to create a new Lakehouse

2.1. Select New > then Show all

2.2. Select Lakehouse (Preview) under Data Engineering

2.3. Set the Lakehouse name to TestLH. Then select Create. You will be navigated to the Lakehouse editor as follows

3. If you navigate to the new created workspace, the Lakehouse and SQL endpoint and Dataset just created as follows