In reverse order:
Oracle does not do distributed in the way you (seem to) imagine. It's not Voldemort or Cassandra. It's one database per server, unless you're talking about RAC: but RAC is shared everything, so it's transparent (but way complicated).
The nearest Oracle has to SQL Server Management Studio is, I guess, Enterprise Manager. But I suspect OEM is probably not as easy to use as its MSSQL counterpart.
If you have a free choice use 11gR2. Why wouldn't you not use the latest version?
Oracle does support one application using multiple databases. However, this is normally due existing (even legacy) databases providing some of the data for an application. You should not deliberately set out to have separate databases on multiple databases, because distributed transactions are slower, less reliable and harder to tune. Find out more.
If you want to have multiple servers for resilience or scalability then as I said before RAC (Real Application Clusters) is Oracle's solution. This is a different architecture from SQL Server's federated approach. Find out more.
"so this link thing is support by free
versions of oracle?"
There is only one free (as in free beer) version of Oracle, and that is the Express Edition (currently still 10g only). That edition does support Database Links. I suggest you read two related articles by Lewis Cunningham: one explaining about DB Links and the other on linking multiple XE instances.