You need to download the Oracle ODBC driver from
first.
Once you have done that run odbccp32.cpl from the command prompt. That gets you over step 1. It is ctrl-tab to go over the tabs
This is from the help in XP
1) Click Start, point to Programs, point to Administrative Tools, and then double-click Data Sources (ODBC).
NOTE: In Windows 2000 Professional, click Start, point to Settings, click Control Panel, double-click Administrative Tools, and then double-click Data Sources (ODBC).
2) Click the System DSN tab.
3) Click Add.
4) Click the database driver that corresponds with the database type to which you are connecting, and then click Finish.
5) Type the data source name. Make sure to you a name that you will remember. You will need to use this name later.
6) Click Select.
7) Click the correct database, and then click OK.
8) Click OK in the next two dialog boxes.