When I first started working with ADO in ASP I ad the same problem. Most of the easy to find documentation mentions setting the cursor type of the recordset object. But on our servers, I actually have to set it on my connection object to get it to work (never really figured out why).
So on my applications I set it on my connection object like this:
adocn.CursorLocation = adUseClient
Then I can set my recordset as:
adoRs.CursorType = adOpenStatic