Of course it doesn't automagically save the data! Where did you ask the computer to do so?
You have to realize computers are like highly literal idiot-savants. They can do lots of wonderous things very fast... as long as you explicitly tell them to do it.
In your case, nowhere do you instruct the computer to save the contents in the Dataset.
As ddboarm indicates, the question is how do you want to save the data? If you just want to save it to a file, then you have to code it out. Probably you wan to use the builtin WriteXml() (and ReadXml() to load it back in) functions. Google for some tuts.
Or, you might want to have different output, like a text file. Here's an example of how to do it.
If you want to save to a database, this gets more complicated.