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The getting started video you were watching might be from newer versions of Tableau (newer versions of Tableau like Tableau 10).
As new versions of are getting released, there will be visual overhaul in Tableau from time to time for better user-experience.
Still all functions in the older versions of tableau will be present in the newer versions too but in different way.
It might be a little difficult to place all these options for a while but once you get a hang of it, It will be very easy in the newer versions
Download Tableau Desktop 10 so that you will be in sync with the training videos.
Like Kaushik Mallampati says: the video's are based on V10. If it's possible within your organisation, get an upgrade to v10.
The main difference between v9.2 & v10 in your print screen is that v10 has the possibilty to connect to multiple databases. If I understand you correct, you're a new user who want's to play/experiance the wonders of Tableau. I that case you can connect to the sample excelfile in your repository. The file has three tabs which you can use and join. Just 'drag and drop' the sheets from the right side of your screen into the (white) pane.
After that the video fot V10 is mostly compatible (in options) with v9.2.
good luck (and much fun)!