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This is down to a fundamental difference between SQL Server and Oracle.
SQL Server is pretty much always referenced with servername and database name (and the port number unless the \<instance name> is used as part of the server name)
Oracle uses more of an 'Alias' (TNS Names).
If you ever need to start working with Oracle DB Standard or Enterprise edition then you will soon learn to be configuring the tnsnames.ora file (which is where you will find the 'Alias' mapped to the server and database name).
and if the oracle database is not running in your workstation (ex: Oracle XE) you will need to install an Oracle Client to be able to connect to the Oracle database server