Hey dude, I used to live in Jax.. (PV), but I'm in New York City, now.. :'(
No. You don't need to install MS Access on your web server. The drivers should already be installed as part of windows. Depending on how "old" your server is, you might want to download the latest version of "MDAC" (Microsoft Data Access Components, which contains the thing you need to hook into Access).
The BEST way (in my opinion) is to use a UDL file and place it either in your system folder or somewhere outside the directory structure of your website. (Sometimes, I put it in the same folder as my database file)
Put this in a text file, name it yourdatabase.udl Then, double click it to change props.. Very easy and it guarantees success!
From ASP, you simply load this as a connection string:
; Everything after this line is an OLE DB initstring
Provider=Microsoft.Jet.OLEDB.4.0;Password="";Data Source=D:\HTTP\someDB.mdb;Persist Security Info=True
If you put the UDL file in a funky place, you might need the full path..
Conn.Open "file name=mydatabase.udl"
Conn.Open "file name=C:\SomeFolder\mydatabase.udl"