This microsoft tech note should help:
You seem to have installed OracleOLEDB...
So make sure you have a tnsnames.ora on your sql server with the Oracle database connection defined in it, in the Oracle client ./NETWORK/ADMIN directory.
Right-Mouse-Click "Linked Servers..." in SSMS and setup your linked server accordingly.
By the way, you should move this thread to Oracle Provider for OLE DB by clicking on "ACTIONS" -> "Move" in the top right of the thread page.