If you got it to connect on your phone you're done with the connection part.

If you have an ADX, that's the file that allows TunerPro RT (and probably ALDLDroid) to connect. So again, if you have that, you're done.

ADS is the older format that became ADX. It's no longer used, so ignore it.

XDF is the definition to allow TunerPro to open a BIN file. It has nothing to do with connecting to the vehicle; it's only used to modify the BIN.