PowerQuery is a new add in from Microsoft that allows for easier import and cleaning of data. In more recent versions it is called Get & Transform which is a great descriptive name.
In versions prior to Excel 2016, you need to switch it on. In Excel 2016 it is part of the normal ribbons.
So if you have a version prior to Excel 2016, you will see a separate ribbon called PowerQuery as shown below from Excel 2010.
If you don’t see this ribbon you may need to load it first. You can see which version to load and download it direct from the Microsoft page.
In Excel 2016 and up it is part of the Data ribbon so you just need to find it.