Just FYI...Splunk Hadoop Connect and Hunk are both limited to running on only *nix platforms at the moment. If your splunk environment runs on Windows - you cannot integrate with HDInsight. See related post
Hi pawantiwari3987,
a quick google search reveals that hdinsight is a Hadoop based Microsoft service. Splunk supports Hadoop with this app http://apps.splunk.com/app/1180/
cheers, MuS
Splunk supports Hadoop in *nix-only environments. There is no windows support yet for Splunk integration with HDInsight.