I did this at my last job. Since I'm no longer there, I don't have complete details, but here are some general steps. And I'm a SQL Server guy, so my Oracle is not exactly the best.
1. download and install the Oracle 9i client. I think it's free from Oracle.
2. configure client using Net Manager. We used the tnsnames.ora file, but there is another way to talk to Oracle.
3. verify your connectivity to Oracle using Net Manager
4. create a linked server in SQL Server (Server Objects - Linked Servers). Not sure what the Provider name will be, since I don't have Oracle drivers installed here.
From there, it's pretty much the same as configuring any other linked server.