Andrea, yes, you should upgrade directly from 8i to 10g, AFAIK there
is no reason you should use 9i at all. There are many ways to upgrade
to 10g... Read Oracle's docs on the subject. Probably the simplest
way - and it's what I did - is to export all your data from 8i, and
import it into 10g.
You seem to be messing with Oracle on Windows. This is the wrong
place to ask about that, few folks here use Windows much, and those
who do use Windows are probably running PostgreSQL on it, not Oracle.
I have installed and used the Oracle client libraries on Windows. As
I recall, the Oracle installers screwed up its Windows file
permissions, and the Oracle client stuff (sqlplus, etc.) would not
work at all until I manually fixed the Windows file permissions. The
Oracle error message also was completely useless, it said
nothing at all about file permissions. So, that's one possible snafu
to consider...