An "OVA" (Original Video Animation) is just an anime that was released directly to home video, without first airing on TV or showing in theaters. That's it. An OVA can be completely origonal content, or a full or partial adaptation of a manga/game/light novel/etc..., or it can be related to an existing anime (as a sequel, prequel, spin-off, an extra, and so on). OVAs are usually rather short, generally 1-6 episodes, but there's no rule that says OVAs must be short, and plenty of longer OVAs exist. As for which you watch first, that completely depends on the OVA you're talking about. More often than not, if an OVA is connected to an anime series, the series comes first, but OVAs are also often prequels, or chronologically take place between seasons, or between two certain episodes.