Hi Deryck,
ArcGIS Desktop (ArcEditor and ArcInfo), ArcGIS Engine, and ArcGIS Server Workgroup come with an executable file that installs SQL Server Express and enables the SQL Server Express instance to store ArcSDE geodatabases. The ArcSDE for Oracle executable will be found on another disk. If you do not have any other disks you can download the software (that you are licensed for) from the Customer Care Portal. If you need additional help with the Customer Care Portal I would recommend calling Customer Service.