From an icon on your Windows desktop:

Create a shortcut for the cmd.exe program on your desktop. Right click the icon and choose "Properties".

Define the "Target" as

  java.exe com.javaranch.jenny.dev.Jenny db.properties

where db.properties is a properties file that describes how Jenny should find your database.
For example, in the "Target" entry, you might see

  %SystemRoot%\system32\java.exe com.javaranch.jenny.Jenny com/ javaranch/db/jenny.properties

Define the "Start in" as your working directory.
For example:

"C:\Java"

Click OK.

Double click the icon. Jenny will open a window, run, creating the necessary files, and close the window.