Why close this? As long as users have to manually login to slave systems while other competing CI systems don't require it, I still see this as a defect.

There's a workaround less complicated thanks to Florian Vogler from Hudson-ci wiki.
It can be applied to Microsoft Windows 7 too.

"This is caused by the TrustedInstaller concept of windows.

Solution I found so far:

Hudson requires full access to WBEM Scripting Locator (HKEY_CLASSES_ROOT\CLSID

'
Right click and select 'Permissions'
Change owner to administrators group.
Change permissions for administrators group. Grant Full Control.
Change owner back to TrustedInstaller (user is "NT Service\TrustedInstaller")
Restart Remote Registry Service"

@Alexis Morelle: this worked for me to get rid off the winreg_CreateKey(JIWinRegStub.java:297) problem.
I am using a local Administrator account on the machine.
However, Jenkins then fails to find java:

Connecting to thehost.i.want
Checking if Java exists
'java' is not recognized as an internal or external command,
operable program or batch file.
No Java found. Downloading JDK
Installing JDK jdk-6u16-oth-JPR@CDS-CDS_Developer
Downloading JDK from http://download.oracle.com/otn/java/jdk/6u16-b01/jdk-6u16-windows-i586.exe
ERROR: Failed to prepare Java
java.net.ConnectException: Connection timed out
at java.net.PlainSocketImpl.socketConnect(Native Method)
at java.net.PlainSocketImpl.doConnect(PlainSocketImpl.java:351)
at java.net.PlainSocketImpl.connectToAddress(PlainSocketImpl.java:213)
at java.net.PlainSocketImpl.connect(PlainSocketImpl.java:200)
at java.net.SocksSocketImpl.connect(SocksSocketImpl.java:366)
at java.net.Socket.connect(Socket.java:529)
at java.net.Socket.connect(Socket.java:478)
at java.net.Socket.<init>(Socket.java:375)
at java.net.Socket.<init>(Socket.java:249)
at org.apache.commons.httpclient.protocol.DefaultProtocolSocketFactory.createSocket(DefaultProtocolSocketFactory.java:80)
at org.apache.commons.httpclient.protocol.DefaultProtocolSocketFactory.createSocket(DefaultProtocolSocketFactory.java:122)
at org.apache.commons.httpclient.HttpConnection.open(HttpConnection.java:707)
at org.apache.commons.httpclient.HttpMethodDirector.executeWithRetry(HttpMethodDirector.java:387)
at org.apache.commons.httpclient.HttpMethodDirector.executeMethod(HttpMethodDirector.java:171)
at org.apache.commons.httpclient.HttpClient.executeMethod(HttpClient.java:397)
at org.apache.commons.httpclient.HttpClient.executeMethod(HttpClient.java:323)
at hudson.tools.JDKInstaller.locate(JDKInstaller.java:379)
at hudson.os.windows.ManagedWindowsServiceLauncher.launch(ManagedWindowsServiceLauncher.java:241)
at hudson.slaves.SlaveComputer$1.call(SlaveComputer.java:200)
at java.util.concurrent.FutureTask$Sync.innerRun(FutureTask.java:303)
at java.util.concurrent.FutureTask.run(FutureTask.java:138)
at java.util.concurrent.ThreadPoolExecutor$Worker.runTask(ThreadPoolExecutor.java:886)
at java.util.concurrent.ThreadPoolExecutor$Worker.run(ThreadPoolExecutor.java:908)
at java.lang.Thread.run(Thread.java:662)
Copying jenkins-slave.xml
Copying slave.jar
Starting the service
—

JAVA_HOME is set for the local Administrator i am using, and also java is in the PATH environment variable for that user, but java.exe is somehow not found by Jenkins. Then downloading fails (proxy issue, oracle login policy ?) and then the service never starts.
This might be another issue altogether since i upgraded to 1.463 recently too.

After doing all this, even if you get the error Access denied.
Open the command prompt as administrator.
C:\>cd jenkins

C:\Jenkins>jenkins-slave.exe install

C:\Jenkins>

Here's the error on my setup. Thanks

• Jenkins Master installed on Ubuntu 14.04
• Jenkins Slave installed on Windows 7 32 bit

Windows Slave Setup

• Launch Method: Let jenkins control this windows slave as a windows service
• Administrator username
• Password
• Host: IP Adress
  *Run Service as: Use Administrator account given above

ERROR: Access is denied. See http://wiki.jenkins-ci.org/display/JENKINS/Windows+slaves+fail+to+start+via+DCOM for more information about how to resolve this.
org.jinterop.dcom.common.JIException: Message not found for errorCode: 0x00000005
at org.jinterop.dcom.core.JIComServer.init(JIComServer.java:542)
at org.jinterop.dcom.core.JIComServer.initialise(JIComServer.java:458)
at org.jinterop.dcom.core.JIComServer.<init>(JIComServer.java:427)
at org.jvnet.hudson.wmi.WMI.connect(WMI.java:59)
at hudson.os.windows.ManagedWindowsServiceLauncher.launch(ManagedWindowsServiceLauncher.java:206)
at hudson.slaves.SlaveComputer$1.call(SlaveComputer.java:261)
at jenkins.util.ContextResettingExecutorService$2.call(ContextResettingExecutorService.java:46)
at java.util.concurrent.FutureTask.run(FutureTask.java:266)
at java.util.concurrent.ThreadPoolExecutor.runWorker(ThreadPoolExecutor.java:1142)
at java.util.concurrent.ThreadPoolExecutor$Worker.run(ThreadPoolExecutor.java:617)
at java.lang.Thread.run(Thread.java:745)
Caused by: rpc.FaultException: Received fault. (unknown)
at rpc.ConnectionOrientedEndpoint.call(ConnectionOrientedEndpoint.java:142)
at rpc.Stub.call(Stub.java:112)
at org.jinterop.dcom.core.JIComServer.init(JIComServer.java:538)
... 10 more

"Access denied" is an expected behavior if Jenkins runs without elevated permissions or if it has no proper permissions on the target machine. I am not sure how it can be fixed on the Jenkins side

The WBEM Scripting Locator is since 2012 only accessible by the TrustedInstaller service. An Administrator can't access it. So running Jenkins with elevated permissions is not going to help. I don't see how the DCOM-based approach can work out-of-the-box without resorting to above mentioned hacks.

Encountering same thing.  no upvotes so adding support of others comments.

paulhendley with Windows Server 2019 and with the most recent Windows 10 service packs Microsoft now provides the Microsoft OpenSSH Server. If you're using new enough operating systems, it is much simpler to manage the Windows agents with ssh than to fight with the DCOM approach used by the windows slaves plugin.

Refer to the windows section of the ssh-slaves plugin for more information.

Won't be fixed. See JENKINS-67604 for the details of the deprecation of agents started by WMI calls using DCOM.