Here are the steps:
1. Open a SqlConnection to your database.
2. Create a SqlCommand object and load it with the name and parameters (if any) for your stored proc. If you don't have parameters, you can just skip this step.
3. Create a SqlDataAdapter and use the SqlCommand object or SQL statement with it.
4. Create a DataSet object and fill it from the SqlDataAdapter.
Here's a code snippet in VB.NET...you'll have to supply the parameters for the SQL connection.
Dim cn As New SqlConnection
cn.ConnectionString = "server=myserver;database=mydb;uid=me;pwd=password;"
cn.Open()
Dim SQL as string = "SELECT * FROM tblData"
Dim da as New SqlDataAdapter(SQL, cn)
Dim ds As New DataSet()
da.Fill(ds)