Hey Lino,
What's happening is you've placed jGnash within "Program Files". When launched from this location, jGnash will need to be started as an administrator the first time so that Java has permissions to write to the jGnash lib directory. It's more or less failing due to increased security within Windows. The alternative is to create something like c:\bin and place jGnash there which will not require administrator privileges.
Thanks for reporting the issue. Long term, when Java 14 settles down, I'm hoping to be able to create a Windows Installer that makes installation smoother.
Thanks,
Craig