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you can absolutely migrate your data if your Windows instance is from 4.2 or later, just use the procedure here--use the first half of the *Nix procedure and the 2nd half of the Windows one:
it might be easiest to hand-move all the config content in /local/ one file at a time to make sure you switch the direction of the slashes etc, but all the configs are the same (except for your inputs, of course).
SQL Server dedicated for Splunk 2 Answers