Snippets below have been condensed from their original sources for brevity. See references for original articles.

Dataset usage:

using System;
using System.Data;
using System.Data.SqlClient;

namespace Microsoft.AdoNet.DataSetDemo
{
    class NorthwindDataSet
    {
        static void Main()
        {
            string connectionString = GetConnectionString();
            ConnectToData(connectionString);
        }

        private static void ConnectToData(string connectionString)
        {
            //Create a SqlConnection to the Northwind database.
            using (SqlConnection connection =
                       new SqlConnection(connectionString))
            {
                //Create a SqlDataAdapter for the Suppliers table.
                SqlDataAdapter adapter = new SqlDataAdapter();

                // A table mapping names the DataTable.
                adapter.TableMappings.Add("Table", "Suppliers");

                // Open the connection.
                connection.Open();
                Console.WriteLine("The SqlConnection is open.");

                // Create a SqlCommand to retrieve Suppliers data.
                SqlCommand command = new SqlCommand(
                    "SELECT SupplierID, CompanyName FROM dbo.Suppliers;",
                    connection);
                command.CommandType = CommandType.Text;

                // Set the SqlDataAdapter's SelectCommand.
                adapter.SelectCommand = command;

                // Fill the DataSet.
                DataSet dataSet = new DataSet("Suppliers");
                adapter.Fill(dataSet);

                // Create a second Adapter and Command to get
                // the Products table, a child table of Suppliers. 
                SqlDataAdapter productsAdapter = new SqlDataAdapter();
                productsAdapter.TableMappings.Add("Table", "Products");

                SqlCommand productsCommand = new SqlCommand(
                    "SELECT ProductID, SupplierID FROM dbo.Products;",
                    connection);
                productsAdapter.SelectCommand = productsCommand;

                // Fill the DataSet.
                productsAdapter.Fill(dataSet);

                // Close the connection.
                connection.Close();
                Console.WriteLine("The SqlConnection is closed.");

                // Create a DataRelation to link the two tables
                // based on the SupplierID.
                DataColumn parentColumn =
                    dataSet.Tables["Suppliers"].Columns["SupplierID"];
                DataColumn childColumn =
                    dataSet.Tables["Products"].Columns["SupplierID"];
                DataRelation relation =
                    new System.Data.DataRelation("SuppliersProducts",
                    parentColumn, childColumn);
                dataSet.Relations.Add(relation);
                Console.WriteLine(
                    "The {0} DataRelation has been created.",
                    relation.RelationName);
            }
        }

        static private string GetConnectionString()
        {
            // To avoid storing the connection string in your code, 
            // you can retrieve it from a configuration file.
            return "Data Source=(local);Initial Catalog=Northwind;"
                + "Integrated Security=SSPI";
        }
    }
}

Binding DataGridView:

private void GetData(string selectCommand)
{
    try
    {
        // Specify a connection string. Replace the given value with a 
        // valid connection string for a Northwind SQL Server sample
        // database accessible to your system.
        String connectionString =
            "Integrated Security=SSPI;Persist Security Info=False;" +
            "Initial Catalog=Northwind;Data Source=localhost";

        // Create a new data adapter based on the specified query.
        dataAdapter = new SqlDataAdapter(selectCommand, connectionString);

        // Create a command builder to generate SQL update, insert, and
        // delete commands based on selectCommand. These are used to
        // update the database.
        SqlCommandBuilder commandBuilder = new SqlCommandBuilder(dataAdapter);

        // Populate a new data table and bind it to the BindingSource.
        DataTable table = new DataTable();
        table.Locale = System.Globalization.CultureInfo.InvariantCulture;
        dataAdapter.Fill(table);
        bindingSource1.DataSource = table;

        // Resize the DataGridView columns to fit the newly loaded content.
        dataGridView1.AutoResizeColumns( 
            DataGridViewAutoSizeColumnsMode.AllCellsExceptHeader);
    }
    catch (SqlException)
    {
        MessageBox.Show("To run this example, replace the value of the " +
            "connectionString variable with a connection string that is " +
            "valid for your system.");
    }
}

References:
MSDN, “DataSet Class”, http://msdn.microsoft.com/en-us/library/system.data.dataset.aspx

MSDN, “How to: Bind Data to the Windows Forms DataGridView Control”, http://msdn.microsoft.com/en-us/library/fbk67b6z.aspx