You need to use a DataAdapter to fill a DataSet and then use that to create a BindingSource. Then use the BindingSource as the DatagridView's DataSource. Lots of Sources involved, none of which include HP Sauce for the bacon, so here is a simple example:-
string connectionString = "your Connection String";
SqlConnection conn = new SqlConnection(connectionString);
SqlDataAdapter da = new SqlDataAdapter("Select * From yourTable", conn);
SqlCommandBuilder cmd = new SqlCommandBuilder(da);
DataSet ds = new DataSet();
da.Fill(ds, "yourTable");
BindingSource bs = new BindingSource(ds, "yourTable");
dataGridView1.DataSource = bs;
just put that in the form load event, obviously with your correct sql query and table name.
Hope that helps