It's us, not you - you're not doing anything wrong. Tableau is built to open up files on your local hard disk or on a shared network folder - not via an http://someserver address, that's all.
Luckily for you, you can easily map the SharePoint document folder to your local computer as a network drive. After you do that, you can open the file in the network drive just as if it's sitting on your local machine.
The following tutorials are obviously not from Tableau, but they should get you started on how to map to SharePoint. If these don't work, please ask your "SharePoint guy/gal" for an assist. The task is pretty straight forward.