What version of Splunk are you running? - If it is the free version you will not have access to alerting, as per the Splunk comparison table available here...
If you are unsure, you can navigate to the "Manager" and then the "Licensing" section (this will appear in the top-right panel within the manager view). Here it will say something like, "Free license group", in large green font, at the top of the page. If you have a paid for license (i.e. Enterprise), it will say something like, "Enterprise license group".
Hope this helps