You need a forwarder to forward the data from applicaion server, an indexer to store the data and a search head to search it. All can be in a single machine or in three different machines or in a cluster.
It's difficult to provide a short answer. You have to decide and design your splunk deployment based on what you want to ingest , how and how much
Start from here.
http://docs.splunk.com/Documentation/Splunk/6.4.3/Capacity/ComponentsofaSplunkEnterprisedeployment
http://docs.splunk.com/Documentation/Splunk/6.4.3/Capacity/DimensionsofaSplunkEnterprisedeployment
http://docs.splunk.com/Documentation/Splunk/6.1.3/Installation/CapacityplanningforalargerSplunkdeployment
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