When I invoke http://jenkins-ci.org/jenkins.jnlp found at https://wiki.jenkins-ci.org/display/JENKINS/Meet+Jenkins#MeetJenkins-TestDrive I get:

java.lang.NullPointerException
at com.sun.javaws.Launcher.executeApplication(Unknown Source)
at com.sun.javaws.Launcher.executeMainClass(Unknown Source)
at com.sun.javaws.Launcher.doLaunchApp(Unknown Source)
at com.sun.javaws.Launcher.run(Unknown Source)
at java.lang.Thread.run(Unknown Source)

I tracked the problem down to a missing "codebase" attribute on the top-level "jnlp" element. Once you provide a value it Jenkins launches just fine.

According to http://weblogs.java.net/blog/kohsuke/archive/2009/07/why_cant_we_get.html this attribute was made optional in Java6 update 18 but then was made mandatory again for security reasons.