dim dts as DataSet
Dim miConexion as SqlConnection
Dim adpt as SqlDataAdapter
miConexion=New SqlConnection ("server=localhost; uid=sa,pwd=;database=nombreBD")
adpt=new SqlDataAdapter ("Select * from tabla",miConexion)
dts=new Dataset()
adpt.fill(dts,"nombreTabla")
datagrid1.DataSource=dts.tables("nombreTabla")
datagrid1.databind()
Espero que te sirva de ayuda!
saludos.