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Assuming that the dropdown uses a field that exists accross all the data sources: once you've added a filter, on the filter, click the dropdown and choose apply to worksheets, then the option that fits what you want to do.
You can download the workbook and check it out for yourself.
I'd break it down and create your visual one piece at a time. Their map is a little more advanced perhaps than you'd like to start as a newbie user. For example, theirs uses specific locations on their campus, vs predefined locations in tableau (like a zip code, county, or state for example). To get your feet wet, I recommend starting with a project that perhaps looks at student's by zip code, or applicants by county, or something like that (I'm assuming you work in higher education). Something where you have individual points and addresses that tableau can recognize and parse into a filled area (such as those geographic points mentioned above). Filled maps are a little easier to start out with, than maps with specific points. Otherwise, your data set will need to have exact latitude/longitude locations for every point you want to map. If you have that readily available, than you should be good. If you haven't worked with geographic point data before, it will be a hard first challenge!
Just my thoughts, but good luck. It's not impossible at all, but being it is so new for you I'd get comfortable with filled maps first.
Also, here are some links to some places you might find helpful.
Education Viz Roundup: https://public.tableau.com/en-us/s/blog/2015/10/education-viz-roundup
Institutional Research Viz Collection: http://irp.dpb.cornell.edu/viz-in-the-wild-public
Viz Gallery: https://www.tableau.com/solutions/gallery
Higher Education User Group: https://community.tableau.com/groups/higher-education
Institutional Research and Planning User Group: https://community.tableau.com/groups/post-secondary-institution-research-and-planning
I was thinking it might be helpful to break it down....then when I get stuck on something I can google it or ask here. Thanks so much for the advice and the links. So helpful!