Hello I have been using the GEOquery package to create expression sets from data taken from NCBI gene expression omnibus (GEO) database. However, I have ran into a problem. Most of the studies that are useful to me do not have a GDS listed. They have GSE, GSM, and GPL but, I use the command gds<-getGEO("GDS4061") to start with, and then do eset <- GDS2eSet(gds,do.log2=TRUE) to convert GDS into an expression set, so I assume the GDS class is necessary. Can somebody suggest how to overcome this problem please?

Have you read the vignette? You can just as easily get data from the GSE entry, or if you want the raw data you can use getGEOSuppFiles. I have personally never used the pipeline you outline, opting instead for getting the GSE directly.