check out the developers page at http://dev.splunk.com/view/get-started/SP-CAAAESB there are even some videos about installing the SDK's like this one here http://www.youtube.com/watch?v=gmdEzPcuJf0 which is about the JAVA SDK.
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can you tell me what online splunk doc you were looking at? i'd love to help improve things. thanks!