Using Data Source

Hi!
I´m a newbie with C# and .NET. I´m professional programmer with Delphi and I
migrating from Delphi to C# with .NET
..
My questions are:

1) I´m using a single connection string into my application with a unique
DataSource. May I load ALL my tables on this unique DataSource and use only
data typed objetcs? Will this cause any conflict into database (a lock)?

2) How do I use a query? I want use a query to mount a report. How do I do
this?

3) If I load all my tables on a unique DataSource will I use to much memory?

Sorry my poor english, I´m not a native english speaker!

Thanks for help!

Willian Lopes