Answer

1. Connect to the primary data source as usual. See Connect to Your Data for more information.
2. Create a Worksheet. This Worksheet will utilize data from your first data source.
3. Create a new Worksheet. 
4. Using the top menu bar, select Data > New Data Source. (This can also be done with Ctrl+D)
5. Connect to a new data source (and if necessary, drag the tables into the (empty) data relationship window). If you like, you can navigate back to the most recently created Worksheet to see fields from the new data source available for use.
6. Repeat steps 3 through 5 to add as many data sources & worksheets as desired.

Additional Information

• When building views in your worksheets, it is important to use one data source per worksheet to prevent blending.
• If you use fields from multiple data sources in the same worksheet, Tableau will automatically look for a linking field to use for data blending. LInks are established by Tableau based on the field names. Refer to the Online Help for ways to manually define a link relationship if needed.
• To navigate to a specific data source's Data Source Pane (The Data Source button in the lower left of Tableau Desktop frame), Navigate first to a worksheet that is utilizing that data source. Then click the Data Source button.