A gateway is a broker between an on-premise data source (in your case an Oracle database) and the Azure cloud. Your flows live in the Azure cloud and cannot "see" the database directly, hence the need for the gateway.
A gateway is a Windows VM that is running the On Premise Data Gateway service. That VM (or, ideally cluster of VMs) needs to have the Oracle driver installed, and needs to be able to connect to the database via TNS entry or via other means. It doesn't matter who installs the gateway, but it has to be on-premise.
The next prerequisite is that you need to be at least Connection Creator on that gateway to be able to link your flow to the Oracle database.
