You must instantiate proxy class before using it:

Private Sub Button1_Click(ByVal sender As System.Object, ByVal e As System.EventArgs) Handles Button1.Click
Dim lcDATA As DataSet = New DataSet
Dim service As com.shelbycountyjail.www.showdls

service = New com.shelbycountyjail.www.showdls()

Dim lcstr As String
lcstr = service.getdlsbyname(Me.txtname.Text)
lcDATA.ReadXml(lcstr)
Me.DataGrid1.DataSource = lcDATA
End Sub