add the columns first and finally set the data source
dataSet = ClassDBOperations.DatabaseAdapter("select CCode,CName,Gender,Address from ContestantProfile", "ContestantProfile");
dgv.AutoGenerateColumns = false;
_dgv.ColumnCount = 4;
_dgv.Columns[0].Width = 100;
_dgv.Columns[0].HeaderText = "Code";
_dgv.Columns[0].DataPropertyName = "CCode";
_dgv.Columns[1].Width = 200;
_dgv.Columns[1].HeaderText = "Name";
_dgv.Columns[1].DataPropertyName = "CName";
_dgv.Columns[2].Width = 50;
_dgv.Columns[2].HeaderText = "Gender";
_dgv.Columns[2].DataPropertyName = "Gender";
_dgv.Columns[3].Width = 400;
_dgv.Columns[3].HeaderText = "Address ";
_dgv.Columns[3].DataPropertyName = "Address ";
_dgv.DataSource = _dataSet.Tables[0];