Unless you mean to ask how can your attend a showing of Sesame Street Live, the show isn't taped (or filmed now) live, but rather, it's pre-recorded, and often times, nearly a year in advance.
I'm not entirely sure, but I believe the studio does welcome people to visit the set, there's a lot of candid footage for an A&E Biography special where little kids are brought into the studio to meet the Muppet characters, and even some of the kids got to watch them record skits with the characters.
One of our own guys (maniacalmuppet) got to visit the set here a few years ago.
I guess it all depends... if you're not aware, the show is filmed at the Kaufman Astoria Studios in Queens, New York.