How can you make a report, showing data in real-time – I mean changes are seen immediately after source data change.

Firsty, you have to connect your data in a Direct Query mode (that can be used in Dataverse, SQL server… but not in Excel, csv…):

Then you can work in Power BI Desktop or in cloud.

In Power BI Desktop

You can simply set the auto refresh rate to one second in Format.

In Powerbi.com

In a published visual set the refresh rate up to your needs. 

The shortest interval is 15 minutes, but in Power Query it is refreshed practically in real-time. So you only need some tool to refresh browser page (like pressing F5 every second). There are tons of plugins doing this, like this one:

https://chrome.google.com/webstore/detail/easy-auto-refresh/aabcgdmkeabbnleenpncegpcngjpnjkc