If you're running on Windows you might want to run Jenkins as a service so it starts up automatically without requiring a user to log in. The easiest way is follow Installing Hudson Jenkins as a Windows service. Alternatively, you can install a servlet container like GlassFish and Tomcat, which can run as a service by itself, and then deploy Jenkins to it.
Since Jenkins was written to work on unix-like platforms, some parts assume the presence of unix-utilities. It is advised to install these as well on Windows. Install UnxUtils (this includes a shell that seems to work with forward and backwards slashes and does globbing correctly), put it in the Windows
PATH, and copy
C:\bin\sh.exe (or whichever drive you use) to make shebang lines work. This should get you going.
Also, see how other people are deploying Jenkins/Hudson to get some idea of how to make it fit your environment.