If you look back at your delphi work it wasn't quite that simple - you had to specify the DB, and set up a connection as well.
It is the same with VB:
Using con As New SqlConnection(strConnect)
Using da As New SqlDataAdapter("SELECT * FROM myTable", con)
Dim dt As New DataTable()
myDataGridView.DataSource = dt
That not only fills a table, but also displays it as well...