How can we load multiple tables into Dataset

Hai you can add multiple tables into an dataset. Dataset is a collection of tables. for each table you should create and data adapter for filling the data into the data set. data adapter carrie's the function like selecting data,updating the edited records, deleting records etc...
Refer the below link for Top to bottom details of it.
http://msdn.microsoft.com/en-us/library/bh8kx08z.aspx