Put simply, a drill-through is just a separate tab on your Power BI dashboard. If you want to "evolve" a tab into a drill through tab, you just need to assign a field to it.
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Step by Step Guide
1. I will create a simple page (tab) to show video game details for a single title.
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Without anything selected, you'll notice the following:
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2. In that "drill-through" field, I will drag the column/field "Game" into it.
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3. That's really all there is to it! On the main dashboard page, if you have a visual with the "Game" column on it, you can right-click and select drill-through.
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Cheers!