A good place to start, would be to look at the OS specific apps which have been created. For example there is the Windows App:
http://splunk-base.splunk.com/apps/22315/splunk-app-for-windows
and there is also the Nix App:
http://splunk-base.splunk.com/apps/22314/splunk-for-unix-and-linux
But as martin_mueller says the documentation should be read, as this is very good for getting you on the move in the right direction.
Cheers,
That's a very very broad question. I suggest either reading the docs (at docs.splunk.com/Documentation/Splunk or coming up with a more specific question.