There is a linked server concept in SQLSERVER which has a different process , so answer to your question is you cannot create dblink in sqlserver in context to DG4ODBC. Also i think this is the only time I say that sqlserver server SSIS package is much faster than using DG4ODBC.
To summarise what has been said already -
- Dg4ODBC can be used to connect from Oracle to SQL*Server. It is a very stable product and has many users. You can also use the Database Gateway for SQL*Server (Dg4MSQL) but that requires a separate license. DG4ODBC is included in your RDBMS license but needs a third party ODBC driver.
- to connect from SQL*Server to Oracle then you can use SSIS. See for example MS knowledge base 280106 - HOW TO: Set Up and Troubleshoot a Linked Server to Oracle in SQL Server ) or nowadays it is called Microsoft SQL Server 2005 Integration Services (SSIS).
If you have access to My Oracle Support then this has already been discussed in a thread in the Gateway Community -