OraOLEDB.Oracle provider is not registered on the local machine
Do the following test:
Open a Command Prompt and type:tnsping instance_name
where instance_name is the name of the instance you want to connect (if it's a XE database, use "tnsping xe"
If it returns ok, follow steps of Der Wolf's answer. If doesn't return ok, follow steps of Annjawn's answer.
It solved for me in both cases.