Admin roles have to be set manually as the code ignores that AD group so as to prevent unwanted/unnecessary admins from being added. Host is another matter and the way I've been able to handle it is to manually go into the database, find the user (me) in the Users table, and set IsSuperUser to 1 or True (I wouldn't be surprised if there was another way but this is quick and I've never really looked into it.
Now that you've got both logins working (DNN and AD) you can disable the DNN login but leave the AD login enabled and Hide Controls unchecked as a backup way of getting into the site. There's also a script that can be added to the Login.ascx so that your users don't have to enter the domain name and I'll post the link tomorrow morning when I get to work (if I don't remember then post give me a nudge in this thread as a reminder).
Now onto getting users to be automatically logged in... Is the following line uncommented in the <httpModules> section of your web.config (should be the last line in the <httpModules> section)
<add name="Authentication" type="DotNetNuke.Authentication.ActiveDirectory.HttpModules.AuthenticationModule, DotNetNuke.Authentication.ActiveDirectory" />
If it isn't then uncomment it and try it. If it is then there's a couple of things you can try. One is to log out of the site and leave it for an hour or two (browser closed) and then hit the site and see if you're logged in. Or you can close your browser and then go into your Internet Options through the control panel on your computer and delete all cookies and cache files and then hit the site. If that's still not working then there's one other thing to try. Add a Text/HTML module onto a page and put the following link into it:
http://<yoursiteurl>/DesktopModules/AuthenticationServices/ActiveDirectory/WindowsSignin.aspx
Logout and then try that link and see if you get logged in. If you still don't get logged in then we need to start looking at your DNN EventViewer to see if we can't narrow down the problem.