SQLClient, OleDB, ODBC are the DBMS Drivers/ADO.NET implementations of different DMBSs (err, hope that makes sense). For example, SQLClient is the ADO.NET implementation for connecting to a SQL Server database. The choice between these drivers is just which database you want to use. For a beginner, I would suggest SQL Server as you probably already have some version of that installed.
ORM is Object-Relational-Mapping. This is a code-based implementation of an auto-mapping between your code-based models, and your database that stores it. If you don't want to manually touch the database for the time being as you are learning, this is a good option - it is something useful for pros and beginners alike, as it allows you to not worry about the underlying database implementation, or writing CRUD (create, read, update, delete) functionality yourself. Take a look at ActiveRecord for .net (http://www.castleproject.org/activerecord/index.html)