Do the following instead, as you have your DataSource set to the table and the DataMember referencing the DataSet name (completely backward):
DataSet ds = new DataSet("fegdata");
ds.ReadXml(@"C:\FegData.xml");
dataGrid1.DataMember = "tableName"; // replace with appropriate table name.
dataGrid1.DataSource = ds;
dataGrid1.CaptionText = ds.DataSetName;
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