I have this question often enough i wanted to walk through the experience myself and the fact that Anthony Borton (an ALM MVP was spending the weekend with me seemed like the right time!)
This is also documented in the VSTS and the Power BI docs:
The steps to get started:
1. Login to Power BI and click on “Get Data”
2. Choose Services
3. Log into the Visual Studio Team Services Account you want to account…this is required as the VSTS Connector won’t bring in data from an account that hasn’t be access in the last 20 hours.
4. Per the documentation put in the account name (without VisualStudio or .COM)….Also make sure and specify a project.
I had limited success bringing in all team projects.
5. At this after some processing you should be able to see your VSTS Data!!