SqlConnection thisConnection = new SqlConnection(
               @"Server=CVRE1WTZRSTAGNW\SQLSERVER2008;Integrated Security=True;" +
           @"Database=northwind");

            DataSet thisDataSet = new DataSet();

            SqlDataAdapter custAdapter = new SqlDataAdapter(
                "SELECT * FROM Customers", thisConnection);
            custAdapter.Fill(thisDataSet, "Customers");

            dataGridView1.DataSource = ...