While for the Lie algebras associated to classical groups there is nothing new in this, the general case is a deeper result. Applied to the real Lie algebra of a Lie groupG, it does not imply that G has a faithful linear representation (which is not true in general), but rather that G always has a linear representation that is a local isomorphism with a linear group. It was proved in 1935 by Igor Dmitrievich Ado of Kazan State University, a student of Nikolai Chebotaryov.
The restriction on the characteristic was removed later, by Iwasawa and Harish-Chandra.
References
I. D. Ado, Note on the representation of finite continuous groups by means of linear substitutions, Izv. Fiz.-Mat. Obsch. (Kazan') , 7 (1935) pp. 1–43 (Russian language)