Easy way would be to use the ADODC (Activex Data Object Data Control) and bind the data grid to it but if you wanted more flexibility you could always use the ADODB (Activex Data Objects DataBase), which you will find under references and bind the datagrid to it. Then of course you could use one of the other grids that are not data aware but you would have to populate the grid yourself.
Any which way you go, there are examples and tutorials out there, all you need to do is use your friends (yahoo, google, ask, answers, bing) and use the correct keywords like "vb6 datagrid control tutorial".
Good Luck