As it has been mentioned before, you should use CBO.FillCollection to return a collection of your custom objects which you can use as datasource for any binding control. If however, you still need the dataset as it is so you can do operations on it, add relations etc the you have two flavors:

1) Either call the ExecuteReader method which you;re already familiar with and assemble the table(s) and the dataset manually, or

2) Use the lazy & painless static goodnes SqlHelper.ExecuteDataSet method, which as the name implies, will return a constructed dataset by providing the connection string, the sql statement or sp and optionally the parameters involved. The SqlHelper class is found in Microsoft.ApplicationsBlocks.Data namespace, so be sure to add an import so you can use it in your code.