Just noticed the blue box in the help about using the LLBLGen DataAccessAdapter method. It says it is not thread safe.

Is this an issue for Windows applications only or do I need to worry about this in an ASP.Net web site?

It's perfectly safe to use it as long as you don't share an instance of it among different threads.

e.g.: if you share an adapter in the application object of asp.net, you're sharing it across threads. Just create one when you need one and when you're done dispose the adapter.