Right click on the Management folder and choose the Import Data ... menu item from the drop-down.
This wakes up the Import/Export Wizard as seen in the next picture. You can see that wizard packs a lot of tricks. It creates packages that do the final trick.
The source of the data
When you click on the button Next in the previous window, the window shown next, SQL Server Import and Export Wizard, pops up. In this window, you must indicate where the data to be imported is presently residing. The defaults assumed are the local SQL 2005 server (Hodentek/Mysorian); Windows Authentication; the default datasource - SQLClient and a database <default> as shown here.
Since the data resides in Oracle XE, click on the drop-down for the data sources and choose the Microsoft Oledb Provider for Oracle as shown here.
After making the above choice, if you click on the Next button you will face the next window, where you need to provide the Oracle XE related information. It is assumed that Oracle XE has already been started, otherwise you may get a not found error. For the Data Source: textbox you enter xe (not case sensitive), for the user name and password you enter hr, hr (forget Scott/Tiger). Also place a check mark in the Allow saving password checkbox. You may also verify that the connection was successful by clicking on the Test button.