может я че-то не то делаю?

Скорее всего ,))

Вы подробнее опишите ошибки, возникающие при вызове DataGrid.NavigateTo, DataGrid.SetDataBindings.
Когда Вы пытаетесь вызвать данные методы (на конструкторе формы, при загрузке формы)?

using System;
using System.Drawing;
using System.Collections;
using System.ComponentModel;
using System.Windows.Forms;
using System.Data;

namespace WindowsApplication6
{
    public class Form1 : System.Windows.Forms.Form
    {
        private System.Windows.Forms.DataGrid dataGrid1;
        private System.Data.DataSet dataSet1;
        private System.Data.DataTable dataTable1;
        private System.Data.DataColumn dataColumn1;
        private System.Data.DataColumn dataColumn2;
        private System.ComponentModel.Container components = null;

        public Form1()
        {
            InitializeComponent();    
        }

        protected override void Dispose( bool disposing )
        {
            if( disposing && components != null) 
                components.Dispose();
            base.Dispose( disposing );
        }

        private void InitializeComponent()
        {
            this.dataGrid1 = new System.Windows.Forms.DataGrid();
            this.dataSet1 = new System.Data.DataSet();
            this.dataTable1 = new System.Data.DataTable();
            this.dataColumn1 = new System.Data.DataColumn();
            this.dataColumn2 = new System.Data.DataColumn();
            ((System.ComponentModel.ISupportInitialize)(this.dataGrid1)).BeginInit();
            ((System.ComponentModel.ISupportInitialize)(this.dataSet1)).BeginInit();
            ((System.ComponentModel.ISupportInitialize)(this.dataTable1)).BeginInit();
            this.SuspendLayout();
            // 
            // dataGrid1
            // 
            this.dataGrid1.DataMember = "";
            this.dataGrid1.DataSource = this.dataSet1;
            this.dataGrid1.Dock = System.Windows.Forms.DockStyle.Fill;
            this.dataGrid1.HeaderForeColor = System.Drawing.SystemColors.ControlText;
            this.dataGrid1.Location = new System.Drawing.Point(0, 0);
            this.dataGrid1.Name = "dataGrid1";
            this.dataGrid1.Size = new System.Drawing.Size(292, 273);
            this.dataGrid1.TabIndex = 0;
            // 
            // dataSet1
            // 
            this.dataSet1.DataSetName = "NewDataSet";
            this.dataSet1.Locale = new System.Globalization.CultureInfo("ru-RU");
            this.dataSet1.Tables.AddRange(new System.Data.DataTable[] {
                                                                          this.dataTable1});
            // 
            // dataTable1
            // 
            this.dataTable1.Columns.AddRange(new System.Data.DataColumn[] {
                                                                              this.dataColumn1,
                                                                              this.dataColumn2});
            this.dataTable1.TableName = "Table1";
            // 
            // dataColumn1
            // 
            this.dataColumn1.ColumnName = "Column1";
            // 
            // dataColumn2
            // 
            this.dataColumn2.ColumnName = "Column2";
            // 
            // Form1
            // 
            this.AutoScaleBaseSize = new System.Drawing.Size(5, 13);
            this.ClientSize = new System.Drawing.Size(292, 273);
            this.Controls.Add(this.dataGrid1);
            this.Name = "Form1";
            this.Text = "Form1";
            this.Load += new System.EventHandler(this.Form1_Load);
            ((System.ComponentModel.ISupportInitialize)(this.dataGrid1)).EndInit();
            ((System.ComponentModel.ISupportInitialize)(this.dataSet1)).EndInit();
            ((System.ComponentModel.ISupportInitialize)(this.dataTable1)).EndInit();
            this.ResumeLayout(false);

        }

        [STAThread]
        static void Main() 
        {
            Application.Run(new Form1());
        }

        private void Form1_Load(object sender, System.EventArgs e)
        {    
            // Нужное раскомментировать
            // Вариант 1
            // dataGrid1.NavigateTo( 0, dataSet1.Tables[ 0 ].TableName );
            // Вариант 2
            // dataGrid1.SetDataBinding( dataSet1.Tables[ 0 ], "" );
        }
    }
}