I am quite new here. Just wanted to know that where can we configure X-XSS-Protection security header in Splunk?
Starting in Splunk 6.6 (released today) you can add custom HTTP response headers by setting replyHeader.NAME=VALUE in web.conf. See the web.conf.spec file for details.
This setting isn't available if you're running in the deprecated legacy appserver mode (i.e. appServerPorts=0) Hopefully nobody is still doing that, though.
Do you mean that you want to add the header to Splunk Web, so that the server sends that header to client browsers?