Open up PBI desktop. The default is a single page. Along the bottom, you will see a yellow “+” sign next to your tab. Click that to create a new page. You can create as many as you would like. When you publish the report as a whole, you will see an arrow at the bottom to move between you pages as in your screenshot.
what you’re seeing is the difference between an embedded Power BI report and a report on the Power BI service. using the service, users will see the tabs along the bottom and be able to switch between pages with those tabs.
If you’re interested in embedding Power BI objects: