C#.net with windows authenication

To an existing C#.net 2008 desktop application, I need to add security to  it.
I need  to add security for the following sections:
a. Logging on to the application,
b. knowing what part of the application the user has access to,
c. Connecting  to the database,
d. knowing what access level the user has to different parts of the
   desktop application.
To accomplish this task, it looks like windows authenication is
the easiet method to manage and the recommended method to use.

Thus my questions are:
1. Can you tell me what is the difference between using the active
directory and/or using windows authenication? If the active
directory and/or using windows authenication are separte items, what are the
differences? Also if they are separate items, can you tell me how the two items
can work with each other in C#.net 2008?
2. To connect to a sql server 2008 r2 database, I found the article http://msdn.microsoft.com/en-us/library/89211k9b(v=VS.90).aspx. Can you tell me how connecting to sql server in the url that was previously listed would relate to using the active directory and/or the windows authenication?