I faced the same exact problem. But I followed the below steps which help me succeed in installing DB Connect.
1. Download the DBConnect application and install in your splunk
2. Downloads the necessary .jar files and copy them to "C:\Program Files\Splunk\etc\apps\dbx\bin\lib" location
3. Restart splunk and when you are asked to enter java path, enter location that looks like this "C:\Program Files\Java\jre1.8.0_91\bin\server". '\bin\server' is very important.
4. In the JVM Commandline section, make sure to remove <-server>.
This should help you in installing DB Connect successfully.
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