Try Something like this:-
SqlConnection conn = new SqlConnection(ConfigurationManager.ConnectionStrings["ConnectionStringName"].ConnectionString);
string query = "SELECT * FROM TableName";
SqlCommand cmd = new SqlCommand(query, conn);
conn.Open();
SqlDataReader dr = cmd.ExecuteReader(CommandBehavior.CloseConnection);
DataTable dt = new DataTable();
dt.Load(dr);
DataSet ds = new DataSet();
ds.Tables.Add(dt);