If you have a single connection in ADO and you start one transaction, when you begin a second transaction these will be "nested" transactions just as if you had opened two individual transactions in a stored procedure.
Make sure you understand nested transactions if you use them - they act a bit strangely.
I am not sure what having MARS active will do to this, but I think it will still work correctly. You could check the @@trancount from your connection to verify.