Using an ORM will remove dependencies from your code on a particular SQL dialect. Instead of directly interacting with the database you'll be interacting with an abstraction layer that provides insulation between your code and the database implementation. Additionally, ORMs typically provide protection from SQL injection by constructing parameterized queries. Granted you could do this yourself, but it's nice to have the framework guarantee.
ORMs work in one of two ways: some discover the schema from an existing database -- the LINQToSQL designer does this --, others require you to map your class onto a table. In both cases, once the schema has been mapped, the ORM may be able to create (recreate) your database structure for you. DB permissions probably still need to be applied by hand or via custom SQL.
Typically, the credentials supplied programatically via the API or using a configuration file -- or both, defaults coming from a configuration file, but able to be override in code.
