Is your Microsoft SQL Server cloud hosted or a local database?
If it is cloud based Tableau Online should be able to connect directly to it (whitelisting may be required). If it is a local database you will most likely need to use Tableau Bridge.
Our SQL Server is hosted by our IT vendor, we are able to make a remote connection into the server or connect to it via applications like sql server management studio. The physical server are located at a different location owned by the IT vendor.
We need Tableau Bridge to be installed on it for connecting to Online.