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Did you try googling?
which product are you going to use? Are you using the Database Gateway for ODBC (=DG4ODBC) or the Database Gateway for MS SQL Server (=DG4MSQL)?
The reason why I'm asking is that DG4ODBC requires a working 3rd party ODBC driver whereas DG4MSQL comes with all components you need. Best would be to check out the My Oracle Support notes:
Document 233876.1 Options for Connecting to Foreign Data Stores and Non-Oracle Databases - For example - DB2, SQL*Server, Sybase, Informix, Teradata, MySQL
as well as:
Document 252364.1 Functional Differences Between Generic Connectivity and Database Gateways
Document 232482.1 Gateway and Generic Connectivity Licensing Considerations
Once you decided which product you install on which platform, please have again another look at My Oracle Support as it contains dozens of configuration instructions how to install the product of yor choice on that platform.
Detailed information is available to create a database link between SQL server and oracle
let me know in case of any query
Those are the steps for making a connection from the SQL*Server side.
If you want Oracle to be the driving side and make the connection from Oracle then you need an Oracle gateway product as described earlier.