How to extract the master data from the live company in order to create and assign to the test company. which sessions to be used.

Please advice

First thing first: know all the master data tables, for if you don't know it, then you don't know which data to move/share
Secondly:
if your test co resides in the same server as your production co, and you won't modify any master data in test co, then you can simply share the master data between the companies
otherwise migrate them either using Exchange module or dumping them from production co and recreate them in test co
In short, there's no one stop session where you just press a button and all the master data will be pooled up, ready to be taken by you to other co

Rgds,
Paul