If you were just going to write a web server that serves pages and files (as opposed to a web service like SOAP), I'd go for the completely self contained option using the Indy HTTP server. Unfortunately, you're not, so the answer is no I don't.

If it's going bang when you're connecting to the database, then something is either wrong with your connection settings (unlikely as you can connect at design time, unless you're testing it on another machine where the user doesn't have access to the database - MySQL permissions allow for host specific access control, so what works for one user on machine A may not work for that same user on machine B), or you've not done something that the IDE does for you at design time.

ADO uses COM (I believe), in your code, have you made a call to coInitialize? If not, the COM/ActiveX won't be initialised and all your ADO calls will fail. So if you've got a datamodule, then I would be inclined to use the create and destroy events of the module to call coInitialize and coUninitialize.