There are instructions on the apps page. Short version, you will have to configure your Palo Alto firewall to forward to a Splunk sever. On the Splunk side, you will have to configure an input. The readme file in the apps directory has a sample inputs.conf stanza.
(Typing with thumbs)
lets say that the PaloAlto is sending logs to UDP 5155 (the default is udp 514), here's a sample stanza for your inputs.conf