** How to check whether I have network or local access to an SMTP or NNTP service?

If you are sending e-mails, you are going through some sort of SMTP server.The easiest way to make sure that CDO is configured is to configure Outlook Express. You do not need to use it, just make sure it is configured properly.

Where can I find CdoSys.dll and ADO 2.5

CDOSys.dll is part of Windows. I believe (but I am not certain) that it is installed by default with Windows XP.
Download ASO 2,5 here: http://www.microsoft.com/downloads/details.aspx?FamilyID=c57692e9-dde7-4a60-b586-5d4fd6794db6&LanguageID=f49e8428-7071-4979-8a67-3cffcb0c2524&displaylang=en

Where do I install these to? Workstations or the server where my .exe resides?

Workstation.

How do I check whether I have these correctly installed?

TRY
CREATEOBJECT( 'CDO.Configuration' )
CATCH
*** There is a problem with CDO
ENDTRY