On the create new linked server panel in SSMS Object Explorer for Provider you have to select:

Microsoft OLE DB provider for Oracle

You also have to provide the appropriate connection information in a separate command.

-- ORACLE Linked Server setup

EXEC sp_addlinkedserver

      @server = 'BERLINProd',

      @srvproduct = 'Oracle',

      @provider = 'MSDAORA',

      @datasrc = 'Inventory'

------------

-- Setup remote SQL Server as Linked Server with login info

USE [master]

GO

EXEC master.dbo.sp_addlinkedserver @server = N'SRVRNAME\SQL2000', @srvproduct=N'SQL Server'

GO

EXEC master.dbo.sp_serveroption @server=N'SRVRNAME\SQL2000', @optname=N'rpc', @optvalue=N'true'

GO

EXEC master.dbo.sp_serveroption @server=N'SRVRNAME\SQL2000', @optname=N'rpc out', @optvalue=N'true'

GO

-- Login/password information

EXEC master.dbo.sp_addlinkedsrvlogin @rmtsrvname = N'SRVRNAME\SQL2000',

         @locallogin = NULL , @useself = N'False', @rmtuser = N'sqlReport', @rmtpassword = N'007London'

GO

------------

-- Test linked server with OPENQUERY

SELECT * FROM OPENQUERY([SRVRNAME\SQL2000], 'SELECT * FROM Northwind.dbo.Products')

-- (77 row(s) affected)

------------

Related article:

http://www.sqlusa.com/bestpractices2005/linkedservertooracle/