ADO (Microsoft ActiveX Data Objects) is a system to access databases. To work with databases via ADO you must have ADO 2.1 or above installed on your computer. ADO 2.1 or above is usually installed by default in Windows 2000 or above. It can also be downloaded and installed from Microsoft web site.
You can check the ADO version in Database Tour by choosing Help | About... menu (System page).
To connect to a database via ADO, just check the corresponding option in Open Data Source dialog.