Use a DataAdapter to fill the dataset
http://msdn.microsoft.com/en-us/library/bh8kx08z%28v=VS.100%29.aspx[
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e.g.
string queryString =
"SELECT CustomerID, CompanyName FROM dbo.Customers";
SqlDataAdapter adapter = new SqlDataAdapter(queryString, connection);
DataSet customers = new DataSet();
adapter.Fill(customers, "Customers");
The DataSet will contain tables, which you can obtain a reference to and then DataBind to your grid