Jenkins has native integrations with the following OSes. See respective sections for how to make Jenkins run in the background automatically:
Alternatively, if you have a servlet container that supports Servlet 2.4/JSP 2.0, such as Glassfish v2, Tomcat 5 (or any later versions), then you can run them as services, and deploy jenkins.war as you would any other war file. Container specific documentation is available if you choose this route.
If you're running on Windows you might want to run Jenkins as a service so it starts up automatically without requiring a user to log in. The easiest way is follow Installing Jenkins as a Windows service. Alternatively, you can install a servlet container like GlassFish and Tomcat, which can run as a service by itself, and then deploy Jenkins to it.
Since Jenkins was written to work on unix-like platforms, some parts assume the presence of unix-utilities. It is advised to install these as well on Windows. Install UnxUtils (this includes a shell that seems to work with forward and backwards slashes and does globbing correctly)(UnxUtils does not download), put it in the Windows PATH , and copy sh.exe to C:\bin\sh.exe (or whichever drive you use) to make shebang lines work. This should get you going. If UnxUtils gives you trouble (Fork Failed Errors), try Win-Bash.
Also, see how other people are deploying Jenkins/Hudson to get some idea of how to make it fit your environment.
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