I have the agent up and running on Windows with Jetty. Here is the cmd file used to launch it for reference:
set JAVA_HOME=C:\Java64\jdk1.6.0_23
set CLASSPATH=.\wlsagent-r112.jar;.\lib\jetty-continuation-7.6.4.v20120524.jar;.\lib\jetty-http-7.6.4.v20120524.jar;.\lib\jetty-io-7.6.4.v20120524.jar;.\lib\jetty-security-7.6.4.v20120524.jar;.\lib\jetty-server-7.6.4.v20120524.jar;.\lib\jetty-servlet-7.6.4.v20120524.jar;.\lib\jetty-util-7.6.4.v20120524.jar;.\lib\servlet-api-2.5.jar;.\lib\wlclient.jar;.\lib\wljmxclient.jar
::%JAVA_HOME%/bin/java -Xmx32m -cp %CLASSPATH% net.wait4it.wlsagent.WlsAgent %1
%JAVA_HOME%/bin/java -Xmx32m -cp %CLASSPATH% net.wait4it.wlsagent.WlsAgent 9090