Since Excel 2016 Power Query is a part of Excel.

Its called Get & Transform in the Data tab.

If you have Excel 2010 or Excel 2013 you can use Power Query by installing the add-in from HERE (if you Google Power Query add-in download, you will find the official Microsoft site for downloading).

The interface of Power Query / Get & Transform has changed quite a bit in the past years. The version I show in the lectures is based on the latest version of Excel in Office 365 as of Q4 2019.