Here is the code who resolves my issue :
'Create a DataTable with the same schema of your DataBase
Dim ccDataTable As CCListDataTable = New CCListDataTable
'Import here your csvFile into your new DataTable
Call ImportCSV2Data(dialog2openFile.FileName, ccDataTable, {0, 2}, True)
'Merge it with the correct DataTable from your Database (False to recognize the changes)
Me.HQSdbDataSet.CCList.Merge(ccDataTable, False)
'Then update your DataBase
Me.CCListBindingSource.EndEdit()
Me.CCListTableAdapter.Update(Me.HQSdbDataSet.CCList)
If you loose the changes when you close your application in debug mode it is normal because you have two databases one ine your application and the other in the debug folder and the one erase the other when you enter the debug mode but when you launch your application whitout debug mode it is ok. Other solution : In the propriety of you database select 'NEVER COPY'