You need to use ADO.NET
System.Data.SqlClient is the namespage you have to import
Connection to a Database done using SqlConnection, SqlCommand, SqlDataAdapter & SqlDataReader , also a Data Set.
There are different ways to use these classes and connect to the database. I suggest you to check .NET specific sites.
check some links
DataReader & SQL Srever
VB city ADO.NET section
Working with Data in .NET - This is in C# but I think you can easily understand this.
Learn how to use ADO.NET
I hope the links would be helpful to you.