This free version of Power BI is designed for the single user to create ad hoc reporting and data exploration. This software, unlike the other two options is installed directly to your local desktop. The dataset size is limited to 1GB per individual dataset and an overall storage quote of 10GB per user. With this option you also have the ability to review reports or dashboards that have been published in a Premium workspace (see below). While Power BI Desktop can create reports that the user can view, it lacks the ability to share with others. Plus there are gaps in functionality between the two, see the chart below for details.
Power BI Desktop is a great edition to get started with while there is no software investment cost.