The DB connect is used used to pull data from a database and then send that data to a heavy forwarder or indexer, where it is then searchable. Here is a good Splunk video on the topic.
WINScp can be used to transfer files from a host to client, or a client to host. For example, it can be used to copy the splunk installer to a nix box. You can also use WINSCp to transfer files to a deployment manager.
The HTTP collector is also used to get data into Splunk. It's just a different way of getting data into Splunk. The HTTP Event Collector (HEC) lets you send data and application events to a Splunk deployment over the HTTP and Secure HTTP (HTTPS) protocols.Here's a good tutorial.