Yes, you need to set the appropriate width in the TableStyle to 0.
If you are allowing the DataGrid to create the TableStyle manually, then after you set the Datasource of the datagrid, do:
datagrid.TableStyles(0).GridColumnStyles(YourColumnIndex).Width = 0
This will make the width of the column 0, and therefore not visible.
If you are creating the tablestyle yourself, simply include the relevant columns in the tablestyle that you wish to display. Any other columsn in the datatable/dataset that are not named in your tablestyle will simply not appear.
B.