If you chose not to use a VM, you can easily just install Jenkins on Windows. Head over to https://jenkins.io and find the downloads page. At the time of writing this, there is a big red button in the center of the page that says Download Jenkins. Even if it is not there, I am pretty sure you will find it. I downloaded Jenkins 2.32.1 for Windows; it is a zip file containing an msi file. Simply run the msi file and the installation will start. Upon completion, Jenkins will be started on your browser under localhost:8080:
The directions on the page are pretty clear. Open C:\Program Files (x86)\Jenkins\secrets\initialAdminPassword, copy the password, paste it into the Administrator password field, and hit Continue.
Jenkins installs to port 8080 by default, just like a lot of other applications. If Jenkins does not start or localhost:8080 does not show Jenkins, chances are port 8080 is in use by another application. To change the default port used by Jenkins, go to the installation folder ( C:\Program Files (x86)\Jenkins) and look for jenkins.xml. Open the file as administrator in Notepad and look for --httpPort=8080. Change 8080 to something else, such as 8081, and save it. Head over to your services (under Administrative Tools under Control Panel) and look for Jenkins. If it is not running, start it; otherwise restart it. Open up your browser and browse to localhost:8081 (or whatever port you chose) and you should see Jenkins.
You can actually download a Jenkins war file (Web application ARchive) and run it locally. You will get all the Jenkins goodness without having to install it. Your settings and builds are saved, so you can manually start it and still have all your stuff persisted. By doing this, you can install Jenkins from Jenkins (and you will not lose any data). You will need to install Java and add it to your Windows path. You can then start the war file from the command line using java -jar somewhere/jenkins.war --httpPort=8081 (httpPort, which is optional; the default is 8080).