Dim str As String = "SELECT bla,bla,bla FROM TuaTabella"

rs = cnn.Execute(str)

Dim ds As New DataSet("Recordset")
Dim da As New OleDb.OleDbDataAdapter()

da.Fill(ds, rs, "TuaTabella")

datagrid.DataSource = ds
datagrid.DataMember = "TuaTabella"

Così usi adodb, popoli un dataset con adodb e instanzi un datagrid su dataset