SQL is a standard computer language for accessing and managing data in a database. It was initially created by Edgar F. Codd of IBM.
SQL Server is Microsoft's database management system that uses SQL. There are many other database management systems, such as DB2 from IBM. The predecessor to DB2 (IBM System R in the early 1970s) was the first to implement SQL.
ODBC is a very low-level interface to data. The data can be in many formats and managed by many types of software. To use ODBC, the data must have an ODBC driver. I suggest avoiding ODBC. I call it low-level becasue it is very technical to use and there are many details that you must use to use ODBC.
OLEDB is a more flexible and more developed interfaced to data. It was designed after ODBC. It is also low-level but it was designed for better performance and flexibility than ODBC. You usually want to avoid OLEDB if ADO is available to do what you need to do.
ADO is a higher-level interface. ADO is what Microsoft should have designed in the beginning, but they do things in reverse; they usually develop the low-levely technical solution first, then decide to do something more convenient. C# programmers can use ADO .Net; you should too. Just use the classes that .Net provides and you will be good. I think that for some things, such as Access databases, we must use OLEDB but if you use the classes in .Net then you will be good.
Look at the articles in this web site. There is something called Entities and the Entity Framework that I know very little about. That seems to be the latest toys from Microsoft. Something else that can be worth learning is TableAdapters, such as in my article
Database Table Update in a DataGridView without Writing Code.