I get asked for a PSK (Pre-shared key)

A PSK, or Pre-shared key, is a string of characters that is used as a type of password for site-to-site VPN authentication and with third-party VPN clients. It works with IPsec and L2TP protocols, which are not supported by AdGuard VPN. AdGuard VPN only works with IKEv2 protocol. If during setup you see a field marked PSK in your router parameters, then it is not the correct type of connection.