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ADO (ActiveX Data Objects) is Microsoft's latest flavor of proprietary Win32-only data access API. They say "ADO is Microsoft's strategic, high-level interface to all kinds of data."
If it helps, you can think of ADO as a layer of gloss over ODBC, though in fact it's built on Microsoft's OLE DB API. ADO provides access to ODBC databases and also to many new data sources not previously available via ODBC. It's object-oriented and designed to be easy to use, in theory.