I was able to reslove this.
I initially had 64-bit Oracle version and registered OraOLEDB11.dll using regsvr32. But was not able to connect it to DB. Then uninstalled 64-bit Oracle client and installed 32-bit Oracle version and registered OraOLEDB11.dll using regsvr32. But on 64-bit windows regsvr32 starts in 64-bit version by default. I had to re-register OraOLEDB11.dll with 32-bit version of regsvr32 using following.
C:\Windows\system32>%systemroot%\SysWoW64\regsvr32 "C:\app\<myName>\product\11.2.0\client_1\BIN\OraOLEDB11.dll"
After this was done I was able to connect it to DB.