Populating DataGridView from MS SQL Server table

I am writing my first VB.Net App and I am trying to populate a DataGridView with the contents of MS SQL Server table.  However, we I run my code, I see the DataGridView being displayed, but it is empty: no column names, no data, does even show empty rows, just a empty gray box.  No errors are displayed.

I am able to successfully populate a DataGridView that I created by dragging data sources from the "Data Sources" window onto a DataGridView.   I use the same connection string in my code that was generated by the Data Sources Wizard.  I want to be able to programmatically create DataGridViews instead of using the Wizard because my App will have 30 near-identical tables that I would like to create in a for loop.
 
Below is my code:

            data = New DataGridView

            Dim sql As String = "select * from tmp_sr"
            Dim ds As New DataSet

            Using connection As New SqlClient.SqlConnection("Data Source=foo;Initial Catalog=bar;User ID=baz;Password=quax")
                Dim adapter As New SqlClient.SqlDataAdapter(sql, connection)
                connection.Open()
                adapter.Fill(ds)
            End Using

            data.DataSource = ds

            Me.Controls.Add(data)

I am using MS Visual Studio 2005 and SQL Server 2005