You just need to install Oracle Client on your SQL Server. This way the Provider you need will become available in the providers dropdown when you setup your linked server. I should note that the provider should be OraOleDB.Oracle not MSDAORA. After you install Oracle Client and add your linked server, please do one more step to check the properties of your OraOleDB.Oracle provider: it needs to have the option **Allow inprocess** enabled, like this:
![alt text][1]
Also, you might want to make sure that your connection settings to your Oracle database are setup properly (under Security tab of your linked server property pages):
![alt text][2]
Oleg
[1]: http://ask.sqlservercentral.com/storage/temp/151-\z_provider.png
[2]: http://ask.sqlservercentral.com/storage/temp/152-\z_linked_props.png
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