I've done it successfully with a linked server. I installed the Oracle client on the server. Also, I was advised to use the Oracle driver for connectivity instead of the Microsoft driver because the Oracle driver does a better job of passing the WHERE clause remotely and returning the set. I guess there are times when the Microsoft driver will pull back the whole query and then process the WHERE clause locally. This would have been completely impractical for my application because of the number of rows in the remote database.

You do have to have your tnsnames.ora file defined properly. The Oracle driver uses Oracle networking.

I've never gotten it to work other than using a linked server.