Jenkins 1.598, Windows Server 2012R2
Jenkins installs itself to C:\Program Files (x86)\Jenkins. It then assumes that all working data should exist underneath this path. Due to the way User Account Control and other Windows Security mechanisms work, the appropriate location for any Jenkins working data should be separated out to C:\ProgramData\Jenkins. This includes the jobs, tools, plugins, etc. subfolders.
The Jenkins Binary itself is okay (and preferable) to work out of the Program Files directory. But anything that Jenkins requires the ability to change should be moved out of this folder.
Note: Separating these paths will break Jenkins' self-update mechanism.
Alternatively, you can simply make Jenkins default install to C:\Jenkins on all Windows platforms. In this manner, UAC will not take effect. However, the aforementioned C:\ProgramData and C:\Program Files (x86) separation is the preferred Windows design.