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Just load up your shapefile and blend it with your data. Currently the shapefile has to be the master dataset on the sheet (but we are hoping this will change soon), so simply drag out the geography onto your sheet canvas and Tableau should automatically put the shapes into a map.
Then blend the shapefile with your dataset, and once it is linked you can bring in the elements from the blended dataset that you are wanting to visualise.
Another great tool to do this kind of thing is the drawing tool for tableau - its free.