The typical approach to connecting a grid and a database is to bind to grid to a System.Data.DataSet (assign a reference to the DataSet to the grid's DataSource property), and use a database-specific adapter (e.g., the System.Data.OleDb.OleDbDataAdapter class) to handle the transfer of data to and from the database and DataSet.

There are many articles on MSDN on the subject of retrieving and saving data to and from a database, for example this one here.