Oracle Data Quality and Profiling is product from Trillium and Oracle ship it as part of Oracle Data Integrator (ODI) software. More on ODI here and here 

ODI – Oracle Data Integrator
ODP – Oracle Data Profiling
ODQ – Oracle Data Quality

Entity creation failed while creating Loader Connection to Data source (Oracle Database) – For more information on Entity, Metabase or Loader Connection in ODQ/ODP check Chapter 3 of Getting Started with Oracle Data Profiling and Oracle Data Quality for Data Integrator Guide here
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How to connect to Oracle Database from ODQ/ODP (define Loader Connection) :
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Install Oracle Database Client on Server where ODQ/ODP is running (ODQ/ODP user should at least have read access on tnsnames.ora and library files).
2. Define ORACLE_HOME variable in .TSDiscovery file under user owing ODQ/ODP software.
3. Define TNS alias (tnsnames.ora) in Oracle Database Client to connect to remote Oracle Database
4. Create a Metabase (or use existing metabase) using Metabase Manager
5. Define Load Connection using : Tools -> Add Loader Connection

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Oracle Data Quality
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6. Create Entity and use Loader Connection created above.

Entity creation failed with error message, on checking logs on ODQ/ODP server under

$ORACLE_ODI_INSTALLATION/ oracledq/ metabase_data/ logs/ mtb_server.log

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2009-12-15 11:50:03 22277 WARNING CONNECT Remote oracle connection failure, couldn’t load file “/u01/ oracledq/ metabase_server/ metabase/ lib/ pkgOracleAdapter/ pkgOracleAdapter.so”: ld.so.1: server.bin: fatal: libclntsh.so.10.1: open failed: No such file or directory – couldn’t load file “/u01/ oracledq/ metabase_server/ metabase/ lib/ pkgOracleAdapter/ pkgOracleAdapter.so”: ld.so.1: server.bin: fatal: libclntsh.so.10.1: open failed: No such file or directory
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Issue : libclntsh.so.10.1 exists under $ORACLE_CLIENT/[lib or lib32] but $ORACLE_HOME variable was not defined under .TSDiscovery

Fix : Stop Oracle Data Quality and Profiling Server , add ORACLE_HOME variable in .TSDiscovery and start ODQ/ODP server

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What is .TSDiscovery file in ODQ/ODP component of ODI ?

.TSDiscovery is hidden file (as represented by dot in front) on Unix/Linux server under $HOME for user owning ODI (with ODQ/ODP) or Oracle Data Quality & Profiling product.
     ODQ/ODP server uses  TSDiscovery file to gather environment information like LD_LIBRARY_PATH, TS_QUALITY, ODI_JAVA_HOME or ORACLE_HOME .

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References