Splunk Security Essentials is a "how-to" app rather than a "plug-and-play" app. Think of it like a cookbook that tells you how to bake a cake, but does not actually bake cakes.
Review the SSE use cases and select those that might apply in your environment. Review the SPL and run the samples to see if any data is found. Bear in mind you probably will have to modify the searches as they often use "index=*" or expect sourcetypes you don't have.
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If this reply helps you, Karma would be appreciated.
