You need to fill a table with your data and then add the table to the dataset. I don't work in VB.NET so I can't give you that code, but here's what code to do this sort of thing in C# looks like (I'm using Oracle components instead of OleDB, but the idea is the same...):
OracleCommand getData = new OracleCommand(dbConnect, "Select * from Employee");
OracleDataReader rdr = getData.ExecuteReader();
DataTable tbl = new DataTable("UserData");
tbl.Load(rdr);
int idx = dsData.Tables.IndexOf("UserData");
if (idx >= 0)
dsData.Tables.Remove("UserData");
dsData.Tables.Add(tbl);
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