It's pretty straightforward (so says an IT manager....).
Plug the USB doo-dah into the laptop and install the driver that came with it, if you haven't already. It should give you a new com port, probably COM3 or higher.
Start AD and licence it online, as per your account details. The licence codes are entered manually, so you can do it from a computer with a 'net connection if your laptop doesn't have one.
Plug the cable into the car - the plug is under the fusebox cover (the one by your right knee / the one that keeps falling off).
You'll need to set up AD to use the COM port for the USB cable, which can be found through device manager in WinXP (and I dare say Vista <shudder>).
Then you choose which ECU to connect to - there's a big drop down list. For the older 156's it'll probably be the Motronic 1.5.5, for the newer ones the 7.3.1 - but you may have to try a few. The Selespeed ECU is at the bottom of the list, if that's what you want to diagnose.
You might not get a connection straight away, I don't on my serial cable. If the laptop's busy doing what Windows does when you're not looking the connection can drop. Don't worry though, just reconnect.
I'm probably reinventing the wheel here to a certain extent. The AD site has lots of info on how to get it working.
That's all from memory, so don't be too unkind if I've missed anything