Sorry for the horrible delay in answering, I thought I was following the tag, but apparently not.
Splunk ships with Python embedded within the product. Your options are to use that, or to install Python separately. I suggest the former route. The inputs.conf.WINDOWS file shipped with the app have the paths set correctly to work on Windows, and it has been tested.
The app is packaged as an .SPL file which is confusing. I'll be changing that to a tarball/zip for the next release. Regardless, the SPL file extension is actually a gzipped tar file, so on Windows it can be opened easily with 7-zip or your favorite archive software. However, if you install the app from the Splunk web UI, you'll find that the package is placed in $SPLUNK_HOME\etc\apps (e.g. c:\program files\splunk\etc\apps), under the SplunkAppForCiscoUCS. Under there in the appserver/addon folder, as documented in the README, you'll see other apps that you need to move down to etc\apps and configure accordingly.
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