So looks like (I've not watched the videos for while) the video is new, and is using Tableau 10. In Tableau 10, you are able to create data connections (and so join) across data sources. In Superstore, there should be 3 tabs (Orders, Returns and People...from memory), and as they are in a single excel workbook, we were able to make the connections between Sales and Returns. It looks like in this new video, to show off the cross-data source joins, they are doing the same thing from the Superstore Sales (Excel) and returns (.csv) to show how the data can be in different sources.
So you'll need (if you want to continue with 9.3, and follow the exercise) connect to the old 'Sample - Superstore' (I've attached it here). You can then perform the joins, as per the video, but you'll be joining the Orders tab, and returns tab. As per the below image
hope that helps.
Sample - Superstore.xls 3.2 MB
The Add feature which is being shown in the "Getting started with Tableau" is for the version 10 of Tableau Desktop. As you have already mentioned that you are using version 9.3, it is self explanatory why that Add option is not being shown to you. Upgrade your Tableau Desktop version to 10 and then try the same.
Thank you very much Simon. I will try it now
Thank you Kashish, Currently i cannot upgrade to 10 as our organisation is using 9.3 version.