When you 'Connect live', Tableau will send queries directly to your database so in effect whenever your database is updated with new data, Tableau will be querying the most up to date version of your data. To change the connection type from an Extract to a live connection, you should un-tick the 'Use Extract' option from the data source menu.
Bear in mind that now queries are running against your database, you should make sure that the queries are not going to impact any live operation of the db, and that your tables are optimised for querying (i.e. have appropriate indices etc)
You can read more about using Extracts here:
Thanks a lot. This really helped