Download latest Jenkins here:
http://beta.jenkins-ci.org/content/thank-you-downloading-windows-installer/
start the installation (I assume you install into c:\Jenkins for this example). Make sure to install the services.
Go to c:\Jenkins\
Check the Jenkins.xml for this line
<arguments>-Xrs -Xmx1536m -Dhudson.lifecycle=hudson.lifecycle.WindowsServiceLifecycle -jar "%BASE%\jenkins.war" --httpPort=8081 --prefix=/Jenkins</arguments>
Change the port to the wanted one can also add the prefix here to website, here the url would be
http://localhost:8081/Jenkins/
Now launch Windows Services applications as admin and start/restart Jenkins. Access Jenkins url then go to Manage Jenkins. All the setup aside the Jenkins.xml arguments are made within the web interface.
Jerome