Typically, you'll install Oracle client software to connect to a database not on the current machine, and then set up a service name that references the database that you want to connect to. The easiest way to do that is to use Oracle's Net Configuration Assistant. This tool also allows you to test the connection to the database. Some other versions of Oracle may require you to set specific environment variables (such as ORACLE_HOME, and ORACLE_SID); again, consult your Oracle documentation for further details.
Client installation can also be achieved using Instant Client - a lightweight solution to the Oracle client install.