Oracle distributes an OLEDB/ODBC driver for its DBMS that is tied to the version of Oracle you want to access. Once you know the version number of the Oracle RDBMS, search the Oracle web site for downloadable packages. You may have to register and log in to download the drivers. Moreover, Oracle uses an antiquated installer that may force you into doing some magic to get it working. Google will be your friend.
For SQL Server (2005 up until 2012) there is a separate package containing the Native Client, OLEDB and ODBC drivers. This package is part of the SQL Server 2012 SP2 Feature pack and it's called "Microsoft® SQL Server® 2012 SP2 Native Client". There are x86 and x64 versions available and they are free to download. Do a Google search for the text in bold, and you'll get a download link pointing to the Microsoft site.
In general terms, you need to have drivers installed that are compatible with your data source. Your data base administrator is the best resource to ask for what drivers to use. The same person can also guide you on what connection details and credentials you need to use.
From my experience I would say that you should connect with OLEDB instead of ODBC if possible. You also need different drivers for different server brands, so for example different drivers fro Microsoft and Oracle.
If you know the database server version you can probably also find suitable drivers by searching the Internet.