' Handler for the OnStateChange event.
Private Sub OnStateChange(ByVal sender As Object, _
    ByVal e As StateChangeEventArgs)
    PrintEventArgs(e)
End Sub

Sub Main()
    FillDataSet()
End Sub

Private Sub FillDataSet()
    Dim connectionString As String = GetConnectionString()
    Dim queryString As String = _
        "SELECT ProductID, UnitPrice from dbo.Products;"

    ' Create a DataAdapter.
    Using dataAdapter As New SqlDataAdapter( _
        queryString, connectionString)

        ' Add the handlers.
        AddHandler dataAdapter.SelectCommand.Connection.StateChange, _
            AddressOf OnStateChange

        ' Create a DataSet.
        Dim dataSet As New DataSet()

        ' Fill the DataSet, which fires several StateChange events.
        dataAdapter.Fill(dataSet, 0, 5, "Table")
    End Using
End Sub

Private Sub PrintEventArgs(ByVal args As StateChangeEventArgs)
    Console.WriteLine("StateChangeEventArgs")
    Console.WriteLine("  OriginalState= {0} CurrentState= {1}", _
        args.OriginalState, args.CurrentState)
End Sub

Private Function GetConnectionString() As String
    ' To avoid storing the connection string in your code,  
    ' you can retrieve it from a configuration file.
    Return "Data Source=(local);Initial Catalog=Northwind;" _
       & "Integrated Security=true;"
End Function