What are these multiple datasets? Excel files, CSV or database tables? Are the datasets related? If they datasets are not related and you will like to analyse them as independent data sources then just connect Tableau to the individual files one at a time. However, if the datasets are related then establish how you want to join them. Connect the primary dataset to Tableau, then add the others as secondary datasets and define the join criteria. If you are connecting to different databases, then click on 'Add' to connect to the appropriate dataset. Tableau online help manual contains lots of useful videos on Getting Started.
Hope this helps.