ADO (ActiveX Data Objects) is a system to access databases from Microsoft. To work with databases via ADO, you need 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 tab).
To connect a database via ADO, just choose the corresponding tab in Open Data Source dialog.