The reference you need to add is to System.Data

Open your reference thingy in your solution explorer to make sure it's there. If only System is there or System.anythingelse, then you need to add System.Data manually.

After that you'll need to add the line

Imports System.Data

on top of your code so that you can declare

Dim blah as new Dataset

otherwise you'll have to do

Dim blah as new System.Data.Dataset everytime