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ADO stands for ActiveX Data Objects. ADO is an application programming interface (API) and part of Microsoft's Data Access Components. It provides a number of objects that are used in the query and manipulation of databases through ASP.
ADO objects are used by first creating an instance of (instantiating) the object you want on the server. This is done with simple ASP code. Then, you simply use the methods, properties and collections of that object to accomplish what you want. See the 'How do I connect to and display records from a database??' Question for details on how to do this.