This week's book giveaway is in the OCPJP forum. We're giving away four copies of OCA/OCP Java SE 7 Programmer I & II Study Guide and have Kathy Sierra & Bert Bates on-line! See this thread for details.
You need to set up Oracle on your PC first. I'd suggest starting with the free edition of Oracle - Oracle XE (see our Oracle FAQ for links).
Oracle XE comes preconfigured, you should be able to connect to it using the connection string"jdbc:oracle:thin:@//localhost:1521:xe" (I don't use XE myself, so I hope this is right).
You should create your own users in the database, it is not a good idea to let your application connect using the system account which has all the privileges. I believe there are some XE guides or tutorials which should help you get these things done.
Creating a connection pool is an independent task. You'll need the connection string I've mentioned before. Other details depend on the connection pool you'll want to use.