How can I add a new column and data to a datatable that already contains data?

Should it not be foreach instead of for!?

//call SQL helper class to get initial data  
DataTable dt = sql.ExecuteDataTable("sp_MyProc"); 

dt.Columns.Add("MyRow", **typeof**(System.Int32)); 

foreach(DataRow dr in dt.Rows) 
{ 
    //need to set value to MyRow column 
    dr["MyRow"] = 0;   // or set it to some other value 
} 

Just keep going with your code - you're on the right track:

//call SQL helper class to get initial data 
DataTable dt = sql.ExecuteDataTable("sp_MyProc");

dt.Columns.Add("NewColumn", typeof(System.Int32));

foreach(DataRow row in dt.Rows)
{
    //need to set value to NewColumn column
    row["NewColumn"] = 0;   // or set it to some other value
}

// possibly save your Dataset here, after setting all the new values