Steps I took:

1. Downloaded jenkins.war 1.440
2. Created folder E:\java\jenkins
3. Executed java -DJENKINS_HOME=E:\java\jenkins -jar jenkins.war
4. Browsed to http://localhost:8080/, Jenkins was up and running
5. Manage Jenkins -> Install as Windows Service
6. Kept the installation directory as E:\java\jenkins and pressed Install

This gave me the following error:

java.lang.UnsatisfiedLinkError: com.sun.jna.Native.malloc(J)J
at com.sun.jna.Native.malloc(Native Method)
at com.sun.jna.Memory.malloc(Memory.java:690)
at com.sun.jna.Memory.<init>(Memory.java:79)
at com.sun.jna.ptr.ByReference.<init>(ByReference.java:33)
at com.sun.jna.ptr.IntByReference.<init>(IntByReference.java:22)
at com.sun.jna.ptr.IntByReference.<init>(IntByReference.java:18)
at hudson.util.jna.RegistryKey.open(RegistryKey.java:210)
at hudson.util.jna.RegistryKey.openReadonly(RegistryKey.java:206)
at hudson.util.jna.DotNet.isInstalled(DotNet.java:50)
at hudson.lifecycle.WindowsInstallerLink.doDoInstall(WindowsInstallerLink.java:104)
at sun.reflect.NativeMethodAccessorImpl.invoke0(Native Method)
at sun.reflect.NativeMethodAccessorImpl.invoke(Unknown Source)
at sun.reflect.DelegatingMethodAccessorImpl.invoke(Unknown Source)
at java.lang.reflect.Method.invoke(Unknown Source)
at org.kohsuke.stapler.Function$InstanceFunction.invoke(Function.java:282)
at org.kohsuke.stapler.Function.bindAndInvoke(Function.java:149)
at org.kohsuke.stapler.Function.bindAndInvokeAndServeResponse(Function.java:88)
at org.kohsuke.stapler.MetaClass$1.doDispatch(MetaClass.java:104)
at org.kohsuke.stapler.NameBasedDispatcher.dispatch(NameBasedDispatcher.java:53)
at org.kohsuke.stapler.Stapler.tryInvoke(Stapler.java:561)
at org.kohsuke.stapler.Stapler.invoke(Stapler.java:646)
at org.kohsuke.stapler.MetaClass$12.dispatch(MetaClass.java:377)
at org.kohsuke.stapler.Stapler.tryInvoke(Stapler.java:561)
at org.kohsuke.stapler.Stapler.invoke(Stapler.java:646)
at org.kohsuke.stapler.Stapler.invoke(Stapler.java:477)
at org.kohsuke.stapler.Stapler.service(Stapler.java:159)
at javax.servlet.http.HttpServlet.service(HttpServlet.java:45)
at winstone.ServletConfiguration.execute(ServletConfiguration.java:249)
at winstone.RequestDispatcher.forward(RequestDispatcher.java:335)
at winstone.RequestDispatcher.doFilter(RequestDispatcher.java:378)
at hudson.util.PluginServletFilter$1.doFilter(PluginServletFilter.java:95)
at hudson.util.PluginServletFilter.doFilter(PluginServletFilter.java:87)
at winstone.FilterConfiguration.execute(FilterConfiguration.java:195)
at winstone.RequestDispatcher.doFilter(RequestDispatcher.java:368)
at hudson.security.csrf.CrumbFilter.doFilter(CrumbFilter.java:47)
at winstone.FilterConfiguration.execute(FilterConfiguration.java:195)
at winstone.RequestDispatcher.doFilter(RequestDispatcher.java:368)
at hudson.security.ChainedServletFilter$1.doFilter(ChainedServletFilter.java:84)
at hudson.security.ChainedServletFilter.doFilter(ChainedServletFilter.java:76)
at hudson.security.HudsonFilter.doFilter(HudsonFilter.java:164)
at winstone.FilterConfiguration.execute(FilterConfiguration.java:195)
at winstone.RequestDispatcher.doFilter(RequestDispatcher.java:368)
at hudson.util.CharacterEncodingFilter.doFilter(CharacterEncodingFilter.java:81)
at winstone.FilterConfiguration.execute(FilterConfiguration.java:195)
at winstone.RequestDispatcher.doFilter(RequestDispatcher.java:368)
at winstone.RequestDispatcher.forward(RequestDispatcher.java:333)
at winstone.RequestHandlerThread.processRequest(RequestHandlerThread.java:244)
at winstone.RequestHandlerThread.run(RequestHandlerThread.java:150)
at java.lang.Thread.run(Unknown Source)

PS. A note about bug reporting itself - the Component/s field is required, but the valid values don't make much sense, at least to someone not familiar with the internals of Jenkins. I used "core" for this report as it was the most generic one I could find, but it was by far the most confusing part about the bug reporting process.