To use OCI (Oracle Call Interface) one must have the Oracle client software installed on the development machine. Example c programs are in $ORACLE_HOME/rdbms/demo, as is an example makefile, demo_rdbms.mk.
One of the trickiest parts to using OCI is getting the makefile correct, I recommend starting with demo_rdbms.mk and editing it to compile your example program. The details seem to vary from platform to platform, in my experience getting the same program to compile, link, and run is straightforward on sun and linux, and relatively difficult on sgi.
The OCI online documentation can be found here.