ADO = ActiveX Data Objects.
I'll explain like this: You have your asp pages. That's all programming. You need to connect to a database. How do you do it? Using ADO. ADO serves as the link between databases and Applications such as ASP or Visual Basic.

As for your visual interdev problem, I have heard this before, and I think you should enter your computers name in place of server name. Strangely, never happened to me.