Hi Try like this,
Go to the Database option on the top > Select Set data source option.
The top portion of the Set Data source Location window shows the current connection and part at the bottom is where you would make a connection to the new database
Once the connection has been made, select 'one' table from the current connection and then select a matching table in the new connection and click on the 'Update' button. Do this for all the tables one by one.