I'm not (yet) familiar with the windows installer but I had a similar
experience with running Jenkins on Tomcat as a service with a 1.6 jdk.
That issue was caused by the service wrapper depending on msvcr71.dll,
which was available on the classpath in the 1.5 jdk but not so with
the 1.6 jdk.
I solved that problem by copying the jre/bin/new_plugin/msvcr71.dll to
the tomcat/bin directory.
Copying the dll file to the windows/system32 directory also worked.
Hope this helps.