Hi Patricia,
This is a common stumbling block (or at least it sure stopped me when I first used EA).
What you need to do to use a DBMS repository (which is what EA and the user docs call anything other than an EAP file) is first set up an empty schema, then load the core information, and finally connect and work with your model.
Download the SQL procedure for creating an Oracle EA repository from Sparx if you've not already done so (it is in the Registered Users Resources page, and probably available from the trial page as well). Create a new schema (user) in Oracle as you normally would, and execute the above procedure to create the tables etc. [I have also done this with Oracle 10g without problem, and there are a lot of users working with 8i as well. In the latter case I cannot say if you need to make any modifications, since I've not used EA with Oracle 8i for almost 2 years.]
Now that you have an empty repository, you need to build some core information before you can work with it. Open EA from the desktop - it is not necessary to open a model, but you can if you want. From the main menu select Tools / Data Management / Transfer Data. Make sure you click EAP to DBMS. Using the Source and Target model "..." dialogs, point to (say) an empty 'placeholder' project (or a complete bootstrap project or whatever you want to start with), as well as your newly created Oracle repository (via your OLE DB settings, via the Windows dialogs EA will invoke for you). EA will warn you that you are going to erase everything in your target model - before you agree make sure you've pointed to the new, empty location!
Click the Transfer button to do the deed. The dialog will remain after everything is done, so you'll have to click Close to finish off.
Now, finally, you can use the File / Open dialog to connect to your repository (yes again, I know...) and open your model. Having done so EA will remember it in the recently used models list.
Sounds like a lot of work, but actually it takes only seconds, and you quickly get used to it.
HTH,
David