What are you planing to do over that DBLink?

1 Push data to SQL Server
2 Pull data from SQL Server
3 Use SQL Server as a lookup resource
4 Insert/delete/update on SQL Server database in a transactional way

For starters you might want to check Metalink Doc #356177.1 "How to Install the Transparent Gateway for MS-SQL Server on UNIX" but, if you just want to move data around more easy-to-set/easy-to-use options are available.