Per prima cosa ti consiglio di usare i tags CODE /CODE (li ottieni con il bottone # quando scivi il post).

Poi attento alle Imports. Il DataSet richiede la System.Data

Fai attenzione ai valori di ritorno. il messaggio di errore indica che nella funzione non hai un valore di ritorno per alcuna/nessuna delle uscite previste nel codice.

Senza entrare nel merito di cosa fai con il codice questa 'stesura' almeno 'compila' :

codice:
Imports System.Data
Imports System.Data.OleDb

Public Class ClsDati
Public Enum ReturnType
	DataSetType
	DataReaderType
End Enum
Private m_StrConn As String = "Provider=Microsoft.Jet.OLEDB.4.0;" & "Data Source=C:\Dati\dbDati.mdb;"

Public Function ExecuteQuery(ByVal Tipo As ReturnType, ByVal StringaSQL As String) As Object

	Dim vConn As New OleDbConnection(m_StrConn)
	Dim vComm As New OleDbCommand()
	Din retObj as Object = Nothing
	Try
		vConn.Open()

		With vComm
			.CommandText = StringaSQL
			.Connection = vConn
		End With
		
		Select Case Tipo

			Case ReturnType.DataReaderType
				Dim dr As OleDbDataReader = vComm.ExecuteReader
				retObj = dr
			Case ReturnType.DataSetType
				Dim adpt As New OleDbDataAdapter()
				Dim ds As New  DataSet()
				adpt.SelectCommand = vComm
				adpt.Fill(ds)
				adpt = Nothing
				adpt.Dispose()
				retObj =  ds
		End Select

	Catch ex As Exception

		MessageBox.Show(ex.ToString, "Errore di accesso ai dati")
		
	Finally

		vComm.Dispose()
		vConn.Close()
		vConn.Dispose()
End Try

Return retObj 

End Function


Public Sub ExecuteNonQuery(ByVal StringaSQL As String)

	Dim vConn As New OleDbConnection(m_StrConn)
	Dim vComm As New OleDbCommand()

	Try

		vConn.Open()

		With vComm

			.CommandText = StringaSQL
			.Connection = vConn
			.ExecuteNonQuery()

		End With
	
	Catch ex As Exception
		MessageBox.Show(ex.ToString, "Errore di accesso ai dati")
	Finally

		vComm.Dispose()
		vConn.Close()
		vConn.Dispose()

	End Try

End Sub

Public function  ExecuteScalar(ByVal StringaSQL As String) As Object

	Dim vConn As New OleDbConnection(m_StrConn)
	Dim vComm As New OleDbCommand()
	Dim retObj as object = Nothing 
	Try

		vConn.Open()
		With vComm

			.CommandText = StringaSQL
			.Connection = vConn
		    retObj = .ExecuteScalar
		    
		End With
		
	Catch ex As Exception

		MessageBox.Show(ex.ToString, "Errore di accesso ai dati")

	Finally
		vComm.Dispose()
		vConn.Close()
		vConn.Dispose()
	End Try
	Return retObj
	
End Function

End Class