splunk to splunk traffic is OS independent and therefore splunk> on Linux can forward to splunk> on Windows without any problems, just set the output target on the linux box to be the windows box and you are done.
Take a look here Aboutforwardingandreceivingdata
You can also sent any kind of network traffic directly to splunk>, like UDP syslog.
Read more here
hope this helps to get you started and doing a lot of reading is anyway the best starting point.