Hi Artem,
this sounds like an issue with the context the installation is running
in.
The post WinXP/W2003 era has some nasty changes at hand for
administrators/power users.
You can only install system critical stuff, or software that could put
the system at risk via the trustedInstaller context.
That service has the highest level of privileges. It is higher than
the administrators privileges and if I do recall right, even high than
the SYSTEM context.
The lack of using the TrustedInstaller or errors in the manifest file
can result in this.
It seems that Jenkins is getting installed and only the step to
register/create the service fails.
I would suggest simply to install it without the service and make the
last step manually. I would even disregard the installer and use the
archive.
You should then try to start Jenkins and install it as service from
the "manage Jenkins" section.
You could optionally try to create the service yourself with the CLI
command SC. sc create [service name] should do it. Then review the
service and make changes if necessary.
I can't tell for sure if SC still is a valid working command as I atm
only have WinXP in reach.
Take care
Jan