I would start at MSDNs Windows Data Access Components SDK page[1]. From there you can can get information on ADO, OLE DB, and ODBC. Once you have a idea of the differences you can decide what is the best solution to your problem.
What a load of sh*t. Who is teaching you this crap?
ODBC is still very widely used and universally supported. ODBC is a good choice, as it's platform and database independent. ADO, while still a good choice, does lock you onto a Microsoft platform.