This is a very broad question. Have you already looked at the Installation documentation? There are a lot of things to consider such as the type of environment you want to set up, how much data you expect to be indexing, system requirements, and more. I'd suggest starting here: http://docs.splunk.com/Documentation/Splunk/6.2.3/Installation/Beforeyouinstall
and if you have specific questions about any part of the process, then users on Splunk Answers can help you make sense of things.