Started playing with SQL Server 2005 and Linked Oracle Servers.
The SQL Server 2005 Management studio gave some framework errors and I was forced to re-install the dot net 2.0 framework to get a clean start up.
After that I ws able to get a linked server added from the graphical editor.
The parameters are in a slightly different order than the stored procedure so be careful.
For example,
sp_addlinkedserver 'GOLF', 'Oracle',
'MSDAORA', 'GOLF'
where the first GOLF is the name of the local DB, and the second GOLF is the TNSNAMES entry for the oracle would appear as follow: