Set focus to another form

Try this code

private void button1_Click(object sender, EventArgs e)
        {
            System.Threading.Thread mythread = new System.Threading.Thread(new System.Threading.ThreadStart(OpenNewFrom));
            mythread.Start();
            FirstName = textBox1.Text;
            LastName = textBox2.Text;
            this.Close();


        }


        public static void OpenNewFrom()
        {
            SqlConnection con = new SqlConnection("Data Source=SYSTEM19\\SYSTEM19;Initial Catalog=linqDB;Persist Security Info=True;User ID=sa;Password=reddy@123");
            SqlCommand cmd = new SqlCommand("insert into Employee values('" + FirstName + "','" + LastName + "')", con);
            con.Open();
            cmd.ExecuteNonQuery();


            cmd.Parameters.Clear();
            con.Close();
           
            cmd = new SqlCommand("Select * from Employee", con);
            con.Open();
            SqlDataAdapter da = new SqlDataAdapter();
            da.SelectCommand = cmd;
            DataSet ds1 = new DataSet();
            da.Fill(ds1);
           
            Application.Run(new Form2(ds1));//Create an instance of your new form. No need to call show method.


        }

And your Form2 as per earlier code remove Form_Load code and add this

public Form2(DataSet ds1)
        {
            InitializeComponent();
            dataGridView1.AutoGenerateColumns = true;
            dataGridView1.DataSource = ds1;
            dataGridView1.DataMember = "Table";
        }

Final look of Form2

using System;
using System.Collections.Generic;
using System.ComponentModel;
using System.Data;
using System.Drawing;
using System.Linq;
using System.Text;
using System.Windows.Forms;


namespace dynamicData
{
    public partial class Form2 : Form
    {
        public DataSet ds { get; set; } 


        public Form2(DataSet ds1)
        {
            InitializeComponent();
            dataGridView1.AutoGenerateColumns = true;
            dataGridView1.DataSource = ds1;
            dataGridView1.DataMember = "Table";
        }


        private void button1_Click(object sender, EventArgs e)
        {
           
        }


        private void Form2_Load(object sender, EventArgs e)
        {
            //dataGridView1.AutoGenerateColumns = true;
            //dataGridView1.DataSource = ds;
            //dataGridView1.DataMember = "Table";
        }


    }
}