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The Fetch Alphacast Dataset step chooses the dataset that the rest of your pipeline steps operate on. It is predefined when you create a pipeline and is almost always the first step.
Fetch Dataset step in the pipeline editor

Select a dataset

Start typing in the search box and matching datasets appear as you type. Pick the one you want and save the step.
Searching for a dataset in the Fetch Dataset step
You can only fetch datasets you have read access to. See Repositories for how access levels work.

Next steps

Select columns

Narrow the dataset down to the columns you need.

Filter dates

Restrict the pipeline to a date range.