It is the Microsoft Data Access Components installation program and will install everything you need. Where the Data Source is the name of the Access database file.
Different databases require different things.
There is no one correct entry. You should be able to get the strings for other systems from the company the created the database and the ADO drivers for that database. If you have trouble finding them, you can email me directly and I'll try and help track the info down. The first argument is typically an SQL statement, though different database systems may use different things. Since you already opened a connection, you can use that as the second argument.