On Windows XP Microsoft had the strange idea to default user profiles in a folder named "Documents and Settings" – with blanks in it!
Jenkins is unable to install a slave in such a folder. The problems seems that the derived service name will then contain blanks, which is not a problem for Windows apparently (one can go to the services GUI and press START, which actually starts the Jenkins slave service), but for Jenkins: Jenkins cannot start that service (will timeout).
If 8.3-Support is enabled, one can workaround by providing the abbreviated 8.3 name. But administrators can (and will sometimes) disable 8.3 support.
So Jenkins must learn to install a slave in such a folder.