The sh.exe can't be found within the PATH when it is installed within a folder containing a space.

For instance:

• Install Git for Windows
  • Default path will be c:\Program Files\Git\
• Add c:\Program Files\Git\bin to your PATH
• Create a job which should execute some shell

Error will be

java.io.IOException: Cannot run program "sh" (in directory "C:\PATH_TO_JENKINS_JOB"): CreateProcess error=2, Das System kann die angegebene Datei nicht finden

Changing the path to something with a space works.