And how to change the page design, i mean in which file are they in?
In the exploded war file, there's a top-level directory called "templates", in which you'll find a subdirectory called "default" which contains all the page templates in FreeMarker syntax. The CSS files are in a subdirectory called "styles".
How to connect it to Oracle?
It's a bit tricky to change this after JForum has been installed. The easiest would be to reinstall it from scratch, and use the JForum installer to configure the DB.