>>>What's wrong with this?
>>>
>>>

>>>public partial class crlRoles : System.Web.UI.UserControl
>>>{
>>>    private DataSet dsRoles = null;
>>>    private DataAccess DataLayer = null;
>>>
>>>    protected void Page_Load(object sender, EventArgs e)
>>>    {
>>>        if (!IsPostBack)
>>>        {
>>>            dsRoles = new DataSet();
>>>            DataLayer = new DataAccess();
>>>            DataLayer.ConnectionString = ConfigurationManager.ConnectionStrings["ConnString"].ConnectionString;
>>>
>>>            _LoadList();
>>>        }
>>>    }
>>>
>>>    private void _LoadList()
>>>    {
>>>
>>>        dsRoles = DataLayer.ExecuteQuery("as_GetRole", CommandType.StoredProcedure);
>>>
>>>        lstRoles.DataSource = dsRoles.Tables[0];
>>>        lstRoles.DataMember = "RoleName";
>>>    }
>>>}
>>>

>>>
>>>I have tried moving the instantiations into _LoadList, and it still fails.
>>
>>That wouldn't be the problem anyway.
>>
>> DataLayer is an object. dsRoles is null. When I run the
>>>ExecuteQuery line it errors.
>>
>>So what's the error ?
>
>"Object reference not set to instance of an object"

Are you sure the error is on the .ExecuteQuery() line?
Obviously C# doesn't care whether dsRoles is null or not at that point (in fact you don't need to instantiate dsRoles in the crlRoles class at all).
Have you tried stepping through the ExecuteQuery() method? If, for example, the DataAccess class is in a different assembly without debugging or the method is marked with [DebuggerStepThrough] then you would see what you're seeing if the error was, in fact, in that code.
Look at the TargetSite in the Debugger detail. Is that showing Page_Load or ExecuteQuery ?