Oracle maintains its own authentication system. You will have to enter your password, and perhaps your username. [It might be possible to have this default to the current login name, but I'm not sure if you can do it via EA.]
There are optional Oracle products that enhance the strength of their security, depending on the version of Oracle (I think very recent versions may come with enhanced security built in). I do not think these provide integration with Windows security, nor do I think there is any difference in login procedures for the end user, but I am not sure.
Depending on your Oracle settings, and additional settings in the OLEDB connection string, it may be possible to enter your username and/or password automatically. This is not advisable on a network, as these are transmitted in clear text. [Note that the .Net provider for Oracle might provide encryption; you will have to check the documentation.] Otherwise, you will have to choose from several levels of security offered by Oracle. Each level results in slightly different, but very predictable, behaviour during connection.
Check the Oracle documentation. It used to be a bit difficult to find, but they have improved navigation, so it should be easier now.
HTH, David