You will need a Windows machine to collect WMI data.
If your Splunk setup is non-Windows, you'll need a separate Windows instance running HF or UF.
See the paragraph "Search Windows Data on a non-Windows Instance of Splunk Enterprise": http://docs.splunk.com/Documentation/Splunk/6.4.0/Data/ConsiderationsfordecidinghowtomonitorWindowsdata#Polling_data_remotely_over_WMI.3F_Be_sure_to_read_this
If you opt for a UF, you cannot configure the WMI from the web interface but you can do the same through the wmi.conf:
http://docs.splunk.com/Documentation/Splunk/6.4.0/Data/MonitorWMIdata
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