Active Record, PDO and "write your own queries"

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How does one differentiate from another? Is writing my own queries "worse" compared to the other 2?

I am reading the documentation before starting out on building a CMS, I'm sure it won't need advanced features of a DB that would require writing my own queries, or am I wrong? Also PDO takes care of sql injections, does Active Record do the same?

I did read a bit on PDO, and it seems EllisLab is creating a plugin for it?