When I try to install the software using the Windows installer, the installation fails.
Apparently it's because of the firewall (I have the same kind of exception in the attached log) : https://groups.google.com/forum/#!msg/jenkinsci-users/W-YHlKSUsX0/v0U79ovE2IEJ

I can't try the fix, because of group policies I can't reactivate the Windows firewall.