You can connect to oracle database through ODBC or OLEDB connectivity.
For ODBC Connectivity
Create the DSN.
In the File---Edit Script ----choose the ODBC option and select the DSN u have created.
For OLE DB Connectivity you can
In the File---Edit Script ----choose the OLEDB option and choose the Oracle driver (Oracle provider for OLE DB) and provide the Source details and credentials.
Before proceeding this ensure that necessary drivers are installed.