You will need something like below. You can create a new datadapter and everything when you go to update the data (from my experience anyways). You will need the dataset and the row states for the dataset should be set to trigger updates for those modified rows. If you accept changes on your dataset then those are lost and nothing in your external source will be updated if I remember correctly.
Dim x As New OleDb.OleDbDataAdapter("select * from somewhere", myconnection (OleDb.OleDbConnection))
Dim oledbCommands As New OleDb.OleDbCommandBuilder(x)
x.UpdateCommand = oledbCommands.GetUpdateCommand()
x.Update(DataSet)
Addition:
Maybe I misunderstood your goal. Are you just trying to get the DataGridView to refresh its contents when you update the datasource? If so you should be able to add a line
myDataGridView.DataSource = myDataSet.Tables(0).DefaultView
myDataGridView.Refresh