I would suggest that that's a very bad idea. Multi-dimensional arrays have their place but the number of situations where their use is appropriate is very small. Data from a database is far better left in a DataTable or else in a 1-dimensional array or collection of objects that have a property for each column.
That said, if you really do want to use a 2D array then you should populate a DataTable first, then use nested For loops to visit every column of every row and transfer the data from the DataTable to the corresponding position in the array.