I encountered this error “I/O Error: SSO Failed: Native SSPI library not loaded” when using Oracle SQL Developer connecting to a MS SQL database using Windows Authentication. Fortunately, couple web sites (here and here) already mentioned about this.
Basically, from the jTDS distribution downloaded files, I have to copy a DLL file named ntlmauth.dll (which is for NT authentication) under the jtds-x.x.x-dist\x86\SSO\ or jtds-x.x.x-dist\x64\SSO\, to any directories in the PATH environment. I copied it to the bin directory of the JDK (which I already have it in the PATH). Then after restarting the SQL Developer, I can now connect to MS SQL database using Windows Authentication.