I don't think the problem is with returning the DataSet, I think it's in your WebService itself ... you never instantiated the loData object:

<WebMethod()> _
Public Function GetForumDataSet() As DataSet

   ' Get the XML string as before
   lcHtml=...

   ' However, in this method, we will now convert it into a DataSet
   Dim loData As DataSet

   ' I Added this line:
   loData = new DataSet

   loData=ImportXML(loData, lcHtml)
   Return loData
End Function

~~Bonnie