I have just finish a project using VB as frontr end and Oracle atr Back end.
I use same ADODB and I have insatlle oracle at the client machine. There is need for this because using your connecting stirng you will need oracle driver tobe able to create you DSN. Also the TSName will have to be configured to point to the oracle data base. The other way is to install a driver for the ODBC. If it is SQL or its compactibilites you did not need this because window has all the driver it it.

As far as I am concern there is need for a driver to do this not necessarily insalling a client side oracle.