My Word/Oracle experience is at least a couple of years out of date, but
here are a few things you could look at:
a. are you absolutely sure you are setting up the new data source
correctly? It isn't particularly easy to describe how it works, but for
example, at some point you will probably have to check one of the boxes that
says that you want to save login/security information. Typically, the end
result when you set up a new source using the standard facilities in WOrd XP
is that you get a .odc file in a My Data Sources folder. This is actually an
HTML file which you can try opening with Internet Explorer and see if the
data you are expecting is displayed.
b. the Oracle provider (for OLEDB connections, the default with Word XP)
and ODBC driver provided with Word XP are only designed to work with an old
version of Oracle - version 6 I think. They seemed to work with version 8i
(the last version I tried), but of course Oracle has moved on. I would
expect them to work with "old" features of Oracle even in the current
version, but
 - perhaps they don't
 - some Oracle field types probably won't work, e.g. user defined types.
Also, Oracle may have done more on Unicode text types recently and it
wouldn't surprise me if they don't work.
c. Oracle has an OLEDB provider for its own product, and it may still have
an ODBC driver. It may be worth trying these. In my experience, however, it
was harder to work out how to configure them and they did not appear as
reliable as the MS equivalents when used with Word.
d. It may be worth trying ODBC instead of OLEDB. You would need to set up
an ODBC DSN (either user, system, or file DSN) on each machine connecting to
the database, then check Word Tools|Options|General|"Confirm conversions at
open" before trying to connect tot he data source.
e. If you still have Access, it may be worth trying to set up Access links
to the Oracle tables you need, then use the linked tables or queries based
on them to get the data from Oracle.