Here's the trace from the failing slave:
Connecting to 192.168.0.5
Failed to connect to port 135 of 192.168.0.5. Is Windows firewall blocking this port? Or did you disable DCOM service?
ERROR: Message not found for errorCode: 0x8001FFFF
org.jinterop.dcom.common.JIException: Message not found for errorCode: 0x8001FFFF
at org.jinterop.dcom.core.JIComServer.call(JIComServer.java:876)
at org.jinterop.dcom.core.JIComServer.call(JIComServer.java:825)
at org.jinterop.dcom.core.JIComServer.addRef_ReleaseRef(JIComServer.java:909)
at org.jinterop.dcom.core.JISession.releaseRef(JISession.java:730)
at org.jinterop.dcom.core.JIComServer.createInstance(JIComServer.java:746)
at org.jvnet.hudson.wmi.WMI.connect(WMI.java:61)
at hudson.os.windows.ManagedWindowsServiceLauncher.launch(ManagedWindowsServiceLauncher.java:152)
at hudson.slaves.DelegatingComputerLauncher.launch(DelegatingComputerLauncher.java:56)
at hudson.slaves.SlaveComputer$1.call(SlaveComputer.java:199)
at java.util.concurrent.FutureTask$Sync.innerRun(FutureTask.java:314)
at java.util.concurrent.FutureTask.run(FutureTask.java:149)
at java.util.concurrent.ThreadPoolExecutor$Worker.runTask(ThreadPoolExecutor.java:897)
at java.util.concurrent.ThreadPoolExecutor$Worker.run(ThreadPoolExecutor.java:919)
at java.lang.Thread.run(Thread.java:736)
Caused by: java.net.SocketException: Network is unreachable
at sun.nio.ch.Net.connect(Native Method)
at sun.nio.ch.SocketChannelImpl.connect(SocketChannelImpl.java:519)
at java.nio.channels.SocketChannel.open(SocketChannel.java:157)
at org.jinterop.dcom.transport.JIComTransport.attach(JIComTransport.java:98)
at rpc.Stub.attach(Stub.java:104)
at org.jinterop.dcom.core.JIComServer.call(JIComServer.java:860)
... 13 more

I've already been through the suggestions at https://wiki.jenkins-ci.org/display/JENKINS/Windows+slaves+fail+to+start+via+DCOM, but no luck.

Using nmap on my jenkins machine, running as user jenkins, I can see that the ports are open on the slave. I can even telnet/netcat to it.
PORT STATE SERVICE
135/tcp open msrpc
139/tcp open netbios-ssn
445/tcp open microsoft-ds
3389/tcp open ms-term-serv

Sounds like it might be a bug in j-Interop, but can't confirm:
http://sourceforge.net/projects/j-interop/forums/forum/840678/topic/3732777