Troy,
I know that Bonnie and others answered your question, so this might be repeat information.
ADO.NET doesn't really support set-based operations on result sets (at least not in the same way VFP does). I was initially very disappointed as well to learn that you couldn't do a subsequent query against data that's been retrieved into a dataset.
Your main choices are :
1) retool your query to bring back the data in the format you want
2) create a relation prior to building the grid
3) manually build a new datatable from the 2 datasets that you brought back.
Most of the time, I've taken option 2. Just out of curiosity, why specifically don't you want to use relations?
Kevin