Drill through is a dimensional data operation that describe the act of exploring or browsing items like folders, files or related components.
Generally associated with drill down and drill up, which indicate vertical movements between components, drill through is an action in which you move horizontally between two items via a related link.
In data warehousing, generally, Drill-through is the ability to navigate from data/reporting of a data source to data found in another data source.
This concept is used primarily in MOLAP cubes where detailed atomic data is not usually kept.
The case of two reports that are in a master /detail relation with each other, and by clicking a master item on the master report you reach the details of the clicked item on the details report.