To get you started, this is the code to query a database and return just one table. You don't actually need the DataSet if you're just quering for normal data. As for relations, as I haven't done those yet, you might need to get a whole bunch of tables in a DataSet and you should look at the class System.Data.DataRelation. Good luck!
// create a connection to the server
SqlConnection sqlconnection=new SqlConnection("<connection string>");
// get the data
data=new DataTable("<table name>");
new SqlDataAdapter(query, sqlconnection).Fill(data);