Hello Xevi Pujol,
I would advise you to check if you have the correct driver: Driver Download | Tableau Software
Plus some lecture about WDC: Tableau and Connectors
This feature is really needed for WDC or we will be forced to drop Tableau and find other options.. please vote this up!
Enhance the Web Connector to have the ability to dynamically pull data with a tableau parameter like you can with custom SQL