This isn't a job for LINQ. LINQ is for querying data whether that is in the DB or in memory.
What data access technology are you using? If you're using EntityFramework or nHibernate or another ORM then they provide instructions on how to load data from a DB into memory. In some cases, like EF, then you can use LINQ to manipulate the results before coming back from the DB. Refer to this tutorial on how to set up EF to read your data from a database.
If you are using ADO.NET datasets then you'll be using a data adapter's Fill
method in combination with a Command to get the data. Then you can use LINQ to filter the results but in most cases it is better to do as much filtering on the DB side as possible first.
If you're instead using ADO.NET data readers then you'll only need a Command. Refer to this tutorial for how to read data using ADO.NET.