Right Way To Retrieve Data From Sql-server

Last night I face performace problems in web site. I got like 100 000 users and site fails because of sql-connections.

Currently I'm making a new connection for every query, and my code looks like this:Public Shared Function executeQueryReturnDataset(ByVal strsql As String) As DataSet
Dim sqlConnection As New SqlConnection(Connstr)
Dim sqlCommand As New SqlCommand(strsql, sqlConnection)
Dim sqlDataSet As New DataSet

Try
sqlConnection.Open()
Dim myDataAdapter As New SqlDataAdapter
myDataAdapter.SelectCommand = sqlCommand
myDataAdapter.Fill(sqlDataSet)
Catch e As Exception
Console.Write(e.ToString())
Finally
sqlConnection.Close()
End Try
Return sqlDataSet
End Function I was wondering would it be better to save an instance from connection object to memory and use that same connection for all querys?