You don't need group by, distinct should suffice. Consider putting that code into stored procedure along with any other database queries / operations.
Dim ds As DataSet = nothing
try
Conn.Open()
Cmd.CommandText = "select DISTINCT college, dept from Hrm_Mst ORDER BY college"
Cmd = New SqlCommand(Cmd.CommandText, Conn)
ds = Cmd.ExecuteDataset
if ds isnot nothing andalso ds.tables.count > 0
your_grid.DataSource = ds.Tables(0)
else
your_grid.DataSource = nothing
end if
your_grid.DataBind()
catch ex as exception
MsgBox(ex.Message)
Finally
Cmd.Dispose
Conn.Dispose
End Try