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Is there a software program you need to purchase to use ADO?
To use old ADO you would need to download and install MDAC - Microsoft Data Access Components in addition to installing .NET framework.
You are right it is very different, for one you no longer have a recordset in ADO.NET and you have a bunch of special new objects. They made a separation of OLE DB and SQL Server database access objects, SQL server has its own special objects to access SQL Server 7+ which are faster than OLE DB access objects.
For all practical purposes ADO.NET should not be even called ADO, the only similarities I see is that they still have Connection and Command objects...