Ferguson,
Oracle XE work fine in MyEclipse.You have ojdbc14.jar in jdbc\lib (from your oracle base installation or search file
ojdbc14.jar – not oc4j.jar).
Except this, you can download jdbc driver from otn.oracle.com (choose download, other and you will find jdbc drivers).Oracle jdbc 10 have bug with some locales and you can have issues if you use non-english locales.
When you find jdbc driver you need set url to jdbc:oracle:thin:@localhost:1521:XE (if MyEclipse and oracle are in same machine or change host name ‘localhost’ to your host name)
Please, check quickstarts/tutorials in MyEclipse help
Thanks
Peco