connected and disconnected archi

DataSets and DataTable are the main component for disconnected  data-access architecture. With DataTable you can store the data after you connect to your database and manipulate the data after wards.

DataReader on the other hand is the connected data-access architechture as the connection remained open while accessing data from your database to your application.

Use DataReader when you want to fetch data in read-only mode. By read only i mean if you don't need to do anything with the data like edit, update or delete. DataReader is perfect choice for simply displaying data in the page and nothing more.

Use DataTable when you want to manipulate your data after connecting to your database. For example doing update and delete with the data.

I would suggest you to give this article a read: https://msdn.microsoft.com/en-us/magazine/cc188717.aspx