I have downloaded \"jenkins-1.501.zip\" from http://jenkins-ci.org/content/thank-you-downloading-windows-installer .
I have extracted zip file and installed Jenkins
So by default you can open CMD and write
java -jar jenkins.war
But if your port 8080 is already is in use,so you have to change the Jenkins port number, so for that open Jenkins folder in Program File and open Jenkins.XML file and change the port number such as 8088
Now Open CMD and write
java -jar jenkins.war --httpPort=8088