Thanks, there is a Log directory in the install directory, I was looking for the log files in there.
2014-08-20 11:06:34,356 INFO ZAP - OWASP ZAP 2.3.1 started.
2014-08-20 11:06:34,467 ERROR Model - Failed to delete file C:\Users\nanderton\OWASP ZAP\session\untitled1.data
2014-08-20 11:06:34,468 ERROR Model - Failed to delete file C:\Users\nanderton\OWASP ZAP\session\untitled1.lck
2014-08-20 11:06:34,468 ERROR Model - Failed to delete file C:\Users\nanderton\OWASP ZAP\session\untitled1.log
2014-08-20 11:06:44,931 FATAL ZAP - invalid database address: jdbc:hsqldb:file:C:/Users/nanderton/OWASP ZAP/session/untitled1
java.sql.SQLException: invalid database address: jdbc:hsqldb:file:C:/Users/nanderton/OWASP ZAP/session/untitled1
at org.sqlite.JDBC.createConnection(JDBC.java:110)
at org.sqlite.JDBC.connect(JDBC.java:87)
at java.sql.DriverManager.getConnection(Unknown Source)
at java.sql.DriverManager.getConnection(Unknown Source)
at org.parosproxy.paros.db.DatabaseServer.start(Unknown Source)
at org.parosproxy.paros.db.DatabaseServer.<init>(Unknown Source)
at org.parosproxy.paros.db.Database.open(Unknown Source)
at org.parosproxy.paros.model.Model.createAndOpenUntitledDb(Unknown Source)
at org.parosproxy.paros.model.Model.init(Unknown Source)
at org.zaproxy.zap.ZAP.run(Unknown Source)
at org.zaproxy.zap.ZAP.main(Unknown Source)
It was the java process that still had a lock on the files. I killed that process and i was able to get ZAP to start. It takes about 4 - 5 minutes to start, I have another question on the forum asking about how long it takes.
It looks like my attempts to start it Headless are failing some how, and they leave the process locking the files.
My machine has 20GB of RAM, the Build server only has 4GB Ram. Is 20GB not sufficient?