If it's been oiled many times it would probably be less of a headache to buy a new one for $20 and use soapy water from the start.
The stone can be used in many different ways as described by bkzk100. I have a norton aluminum oxide stone so I don't know how similar they are but, If you use it with water or soapy water it tends to work a little like a water stone in that it will build a slurry that aids in cutting action. Though this method seems to work faster and yield a better finish I still prefer dry above all else for edge quality and sharpness. If I used oil with it I would probably keep it in a bucket of oil and pull it out when needed. When I started sharpening I used a Arkansas stone with 3 in 1 oil then one day heard from someone wiser than I that it would be better if I didn't. I tried it and for me the results were always better when I used the stone dry, oil was fun but I switched to dry and never went back.