It depends on how many records you want to deal with at a time. If you'll only have a small number of records you can denormalize the data and store it all in one class, or a couple classes. You have to decide how you want to map the domains so the data presentation layer will find it convenient to use, and the DBMS layer will find it efficient and reliable.
By the way, the term ORM usually refers to a slightly different process where you have a set of maps and an automated process to statically or dynamically map a table or set of tables to a domain class, or set of classes. Marco is using a custom DAL that isn't really an ORM methodology. Marco has defined his own classes by hand, which is the way a lot of people prefer to do it.