The Command object executes a query against a database. Alone, it can't place the results into a DataSet. This is where the DataAdapter object comes into the picture. One of the DataAdapter's jobs is to fill a DataSet with the results of a query. You can learn more about the DataAdapter in Hour 8, “Using the DataReader and DataAdapter.”
The DataAdapter object is instantiated in a very similar fashion to the Command object:
Dim myAdapter as New SqlDataAdapter( myCommand )
or in C#:
SqlDataAdapter myAdapter = new SqlDataAdapter( myCommand );
Notice that you pass the existing Command object you're working with to the new DataAdapter object you're creating. This tells the DataAdapter which Command object ...