Tableau does not handle yet quick filtering across multiple data sources (it's supposed to be one of the major release of tableau 10).
At the moment a workaround is to use parameters to do so. You need to create a parameter that you will use as a filter by creating similar calculated fields in each of the data source.
See Tableau articles below for step by step explanations:
Hope this helps
Hi Rajarshi, please provide a example workbook so we can help you better. Maybe we can use a calculated field to generate the relations...