Ada mode is part of the standard Emacs distribution; if you use that, no files need to be installed.
Ada mode is also available as a separate distribution, from the Emacs Ada mode website http://stephe-leake.org/emacs/ada-mode/emacs-ada-mode.html. The separate distribution may be more recent.
For installing the separate distribution, see the README file in the distribution.
To see what version of Ada mode you have installed, do M-x ada-mode-version.
The following files are provided with the Ada mode distribution: