There are no "connections" as such. You appear to be thinking of ADL as a traditional database. You can insert/request data from URIs or using U-SQL. SDKs are available for C#, Python and R.
You cannot update the records in a table, there are no transactions. The principal aim is to run reports from the data or convert data into different formats. You either insert data or delete it.
.NET SDK information is available via Microsoft.