The reason why it don't work is because you specify that the incoming table should be mapped to a table named Setup. Your data set doesn't contain a table named Setup, so the incoming table will be named... well, Setup. 
Try this instead:
da.Fill(ds, "idset")
Also, I strongly suggest you:
Seriously.
The best way to debug bindings is to use a BindingSource and handle the BindingComplete event.
Private bs As BindingSource
Private ds As DataSet
Private Sub Initialize(pcname As String)
    Me.ds = New DataSet()
    Using connection As New SqlConnection("Server=server,Trusted_Connection=True,Database=database")
        connection.Open()
        Using command As New SqlCommand()
            command.Connection = connection
            command.CommandText = "SELECT * from [idset] Where [pcname] = @pcname;"
            command.Parameters.AddWithValue("@pcname", pcname)
            Using adapter As New SqlDataAdapter(command)
                adapter.Fill(Me.ds, "idset")
            End Using
        End Using
    End Using
    Me.bs = New BindingSource(Me.ds, "idset")
    AddHandler bs.BindingComplete, AddressOf Me.HandleBindingCompleted
    Me.txtClientID.DataBindings.Add("Text", Me.bs, "CLID")
End Sub
Private Sub HandleBindingCompleted(sender As Object, e As BindingCompleteEventArgs)
    If (Not e.Exception Is Nothing) Then
        Debug.WriteLine(e.ErrorText)
    End If
End Sub