In general you setup a reverse proxy in front of Splunk Web to perform the SSO and tell Splunk which user from a backing store of users authenticated.
This process is discussed in the Docs: http://docs.splunk.com/Documentation/Splunk/6.4.2/Security/ConfigureSplunkSSO
However if you are using SAML, There are also Docs on how to setup Splunk this way: http://docs.splunk.com/Documentation/Splunk/6.4.2/Security/HowSAMLSSOworks
If you need more help, you may want to consider giving more detail to your specific situation. Splunk and their many Partners also sell professional services if you're wanting someone to set things up for you.