using (SqlConnection connection = new SqlConnection("connection string here"))
{
    using (SqlCommand command = new SqlCommand
           ("SELECT Column1 FROM Table1; SELECT Column2 FROM Table2", connection))
    {
        connection.Open(); 
        using (SqlDataReader reader = command.ExecuteReader())
        {
            while (reader.Read())
            {
                MessageBox.Show(reader.GetString(0), "Table1.Column1");
            }

            if(reader.NextResult())
            {
               while (reader.Read())
              {
                MessageBox.Show(reader.GetString(0), "Table2.Column2");
              }
            }
        }
    }
}