I think if you create the relationship within the dataset, and put the dataset to the DataGrid's DataSource, it will automatically show you the relationship in the view.
DataRelation drelation = new DataRelation("RelationName", ds.Tables[0].Columns["Col1"], ds.Tables[1].Columns["Col2"]);
Now
ds.Relations.Add(drelation);
This will add a new datarelation between the Table0 and Table1 within the
DataSet
ds.
;)