I usually take this route: http://www.ideaexcursion.com/2009/01/05/connecting-to-oracle-from-sql-server/[/url]
I also usually create a local ODBC > System DSN connection, via the TNSNAMES.ora file, so that I can verify my credentials and general connectivity.
Make sure your client and the version of Oracle match. Also be sure to get the proper tnsnames file from your oracle admin.