you can try this code:
string course = cboCourse.SelectedItem.ToString();
string connectionstring = "Data Source=Serveur\\INSTANCESQL;Initial Catalog=Student;Integrated Security=True";
SqlConnection cnx = new SqlConnection(connectionstring);
cnx.Open();
string query = "SELECT [Student] FROM [User].[dbo].[Student] WHERE course = @course";
SqlCommand cmd = new SqlCommand(query,cnx);
SqlParameter p1 = new SqlParameter("@course", SqlDbType.Char, 10);
p1.Value = course;
cmd.Parameters.Add(p1);
cmd.ExecuteNonQuery();
SqlDataAdapter da = new SqlDataAdapter(cmd);
DataSet ds = new DataSet();
da.Fill(ds);
dgStudents.DataSource = ds.Tables[0];
cnx.Close();