You download the Power BI Desktop

The Anaplan Connection Configuration dialog. You enter the API and Authentication (auth) URLs.
When you open the connector, the Anaplan Connection Configuration dialog displays.
Basic authentication
If you choose Basic authentication, enter the following URLs:
Anaplan API URL | https://api.anaplan.com |
Anaplan Auth URL | https://auth.anaplan.com |
SSO authentication
If you use SSO authentication, enter the following URLs:
Anaplan API URL | https://api.anaplan.com |
Anaplan Auth URL | https://us1a.app.anaplan.com |
Final step:
From the next Anaplan dialog, choose either Basic or Organizational account (this triggers SSO).

Select either "Basic" or "Organizational account." Organizational account means SSO.
Also see Add URLs