MSDN has a pretty good writeup here:
http://msdn.microsoft.com/en-us/library/s7ee2dwt(VS.71).aspx
You should take a look at the data-reader for simple select-statements. Sample from the MSDN page:
private static void ReadOrderData(string connectionString)
{
string queryString =
"SELECT OrderID, CustomerID FROM dbo.Orders;";
using (SqlConnection connection = new SqlConnection(
connectionString))
{
SqlCommand command = new SqlCommand(
queryString, connection);
connection.Open();
SqlDataReader reader = command.ExecuteReader();
try
{
while (reader.Read())
{
Console.WriteLine(String.Format("{0}, {1}",
reader[0], reader[1]));
}
}
finally
{
// Always call Close when done reading.
reader.Close();
}
}
}
It basicly first creates a SqlConnection object and then creates the SqlCommand-object that holds the actual select you are going to do, and a reference to the connection we just created. Then it opens the connection and on the next line, executes your statements and returns a SqlDataReader object.
In the while-loop it then outputs the values from the first row in the reader. Every time "reader.Read()" is called the reader will contain a new row.
Then the reader is then closed, and because we are exiting the "using"-secret, the connection is also closed.
EDIT: If you are looking for info on selecting/updating data in ASP.NET, 4GuysFromRolla has a very nice Multipart Series on ASP.NET 2.0's Data Source Controls
EDIT2: As others have pointed out, if you are using a newer version of .NET i would recommend looking into LINQ. An introduction, samples and writeup can be found on this MSDN page.