what have you tried? what have you read? do you know about the tutorial?
I suppose that you have already installed Splunk Enterprise and keep it running?! To get the mentioned data into Splunk there are different ways: 1.monitor the relevant log files, 2. listen to TCP / UDP ports, 3. connect to a db and read the relevant tables or 4. run a script like vmstat etc. and read the output.
So the first thing you have to do, is to find out what´s your data like and where it is located. If you know this you will have to plan your deployment. If your data is located on remote hosts you will have to install Forwarders or do a db connect to get the data to your indexer (see: http://wiki.splunk.com/Community:Getting_data_into_Splunk).
For special data like AD or firwall see: http://docs.splunk.com/Documentation/Splunk/6.2.1/Data/AuditActiveDirectory and http://wiki.splunk.com/Set_up_Splunk_for_Cisco_Firewalls