you need to install oracle client on your box, the same version (8 or 9 or 10) as on the server having the oracle server software. oracle is freely downloadable from www.oracle.com
when you install the client, one of the pre-installation steps is to choose a directory for the install which becomes (and you must set this environment variable in your login script) $ORACLE_HOME. Oracle software (when installed) refers to this environment variable when finding it's own binaries etc.