I want to create a table in this format, but I haven't managed to get it to work. I dont need to have any colour, i would just like to have it shown as a plain table.

You're right about not wanting colors; however, you don't want vertical rules either. Nor it's necessary that “Data set” is lowered: the first row has the column headers, some of which have subheaders in the second row, with a horizontal rule to show the groups.
With siunitx and its S column you can get exact spacing between columns, alignment under the decimal point and automatic management of numbers (see in the eighth column).
The input is straightforward; only some care is needed for adjusting the column specifiers, which can be done when the data are in their final form.
A local setting of \tabcolsep is necessary, at least for the standard text width; if you have a different text width you may be able to omit the setting or you may need to change the size.
\documentclass[11pt]{article}
\usepackage{siunitx}
\usepackage{booktabs}
\begin{document}
\begin{tabular}{
l
*{6}{S[table-format=1.4]}
S[table-format=5]
S[table-format=3.2]
}
\toprule
\multicolumn{1}{c}{Data Set} &
\multicolumn{3}{c}{Balanced Error} &
\multicolumn{3}{c}{Area Under Curve} &
\multicolumn{2}{c}{Features} \\
\cmidrule(lr){2-4} \cmidrule(lr){5-7} \cmidrule(lr){8-9}
& {Train} & {Valid} & {Test} & {Train} & {Valid} & {Test} & {\#} & {\%} \\
\midrule
arcene & 0.5000 & 0.4886 & 0.5006 & 0.5000 & 0.5114 & 0.4994 & 10000 & 100.10 \\
gisette & 0.5000 & 0.4886 & 0.5006 & 0.5000 & 0.5114 & 0.4994 & 10000 & 100.10 \\
dexter & 0.5000 & 0.4886 & 0.5006 & 0.5000 & 0.5114 & 0.4994 & 10000 & 100.10 \\
madelon & 0.5000 & 0.4886 & 0.5006 & 0.5000 & 0.5114 & 0.4994 & 10000 & 100.10 \\
\bottomrule
\end{tabular}
\end{document}

Several good answers already exist. I'd like to suggest to use the booktabs package as it creates tables that are effective and yet simple to create.
\documentclass[11pt]{article}
\usepackage{booktabs}
\let\mc\multicolumn
\begin{document}
\begin{tabular}{r rrr rrr rr}
\toprule
& \mc3c{Balanced Error}
& \mc3c{Area Under Curve}
& \mc2c{Features} \\
\cmidrule(r){2-4}
\cmidrule{5-7}
\cmidrule(l){8-9}
Data Set & Train &Valid &Test & Train &Valid & Test & \# & \% \\
\midrule
arcene&0.5000 &0.4886 &0.5006 & 0.5000 &0.5114 &0.4994 &10000 & 100.10\\
gisette&0.5000 &0.4886 &0.5006 & 0.5000 &0.5114 &0.4994 &10000 & 100.10\\
dexter&0.5000 &0.4886 &0.5006 & 0.5000 &0.5114 &0.4994 &10000 & 100.10\\
madelon&0.5000 &0.4886 &0.5006 & 0.5000 &0.5114 &0.4994 &10000 & 100.10\\
\bottomrule
\end{tabular}
\end{document}

you need to load packages multirow and multicol in the preamble and then :
\begin{table}[htdp]
\caption{default}
\begin{center}
\begin{tabular}{|c|c|c|c|c|c|c|c|c|}
\multirow{2}{*}{Data set}&\multicolumn{3}{c|}{Balanced Error}&\multicolumn{3}{c|}{Area under Curve}&\multicolumn{2}{c|}{Features}\\ \cline{2-9}
&Train&Valid&Tes&Train&Valid&Test&\#&\%\\ \hline
arcene&0.5000&0.5000&0.5000&0.5000&0.5000&0.5000&0.5000&0.5000\\
gisette&0.5000&0.5000&0.5000&0.5000&0.5000&0.5000&0.5000&0.5000\\
dexter&0.5000&0.5000&0.5000&0.5000&0.5000&0.5000&0.5000&0.5000\\
madelon&0.5000&0.5000&0.5000&0.5000&0.5000&0.5000&0.5000&0.5000
\end{tabular}
\end{center}
\label{default}
\end{table}

Data Setlabel centered in between the top and lower lines? like @Jared Lo's answer – alper Sep 26 '22 at 16:19siunitxformat what should I do if I have a variables as following pattern50/60; usingS[table-format=5]for 5 characters did not help – alper Sep 26 '22 at 17:34Scolumn type is for aligning decimal numbers at the decimal separator. – egreg Sep 26 '22 at 17:40*{2}{c}gives the output I wanted – alper Sep 28 '22 at 10:49