static void Main(string[] args)
        {

            string myConString = "Initial Catalog=Northwind;Data Source=10.32.34.180;Integrated Security=SSPI;";
            SqlConnection nwindConn = new SqlConnection(myConString);

            SqlDataAdapter custDA    = new SqlDataAdapter("SELECT CustomerID, CompanyName FROM Customers", nwindConn);
            SqlDataAdapter orderDA   = new SqlDataAdapter("SELECT OrderID, CustomerID, OrderDate FROM Orders", nwindConn);
            SqlDataAdapter detDA = new SqlDataAdapter("SELECT * FROM [Order Details]", nwindConn);

            nwindConn.Open();

            DataSet custDS = new DataSet("CustomerOrders");
            custDA.Fill(custDS, "Customers");
            orderDA.Fill(custDS, "Orders");
            detDA.Fill(custDS, "OrderDetails");

            nwindConn.Close();

            DataRelation rel = custDS.Relations.Add("CustOrders",
                custDS.Tables["Customers"].Columns["CustomerID"],
                custDS.Tables["Orders"].Columns["CustomerID"]);

            DataRelation rel2 = custDS.Relations.Add("Details",
                custDS.Tables["Orders"].Columns["OrderID"],
                custDS.Tables["OrderDetails"].Columns["OrderID"]);

            rel.Nested = rel2.Nested = true;

            custDS.WriteXml("c:\\_nested.xml");
        }
    }

CustomerOrders>
  <Customers>
    <CustomerID>ALFKI</CustomerID>
    <CompanyName>Alfreds Futterkiste</CompanyName>
    <Orders>
      <OrderID>10643</OrderID>
      <CustomerID>ALFKI</CustomerID>
      <OrderDate>1997-08-25T00:00:00.0000000+02:00</OrderDate>
      <OrderDetails>
        <OrderID>10643</OrderID>
        <ProductID>28</ProductID>
        <UnitPrice>45.6000</UnitPrice>
        <Quantity>15</Quantity>
        <Discount>0.25</Discount>
      </OrderDetails>
      <OrderDetails>
        <OrderID>10643</OrderID>
        <ProductID>39</ProductID>
        .......
        .......