Liquid XML is a .Net application and uses the .Net connectors for various databases.
In order to connect to Oracle you must first download and install the 'Oracle Data Provider for .Net'.
This can be found on the Oracle web site as part of the 'Oracle Data Access Components (ODAC) for Windows Downloads':
After you install the Oracle Data Provider for .Net, you will be able to use the menu option Database->Connect to create a connection to the latest Oracle database.
Note: The Oracle Data provider will appear in the dialog before you install the ODAC but if you try to use it you will receive the error 'System.Data.OracleClient requires Oracle client software version 8.1.7 or greater.'. To resolve this issue, install the ODAC as described above.