Simply create a directory called "settings" in the jEdit directory, and use this batch file to start it. It will set up the environment variables from the relative path, so that no matter where jEdit is it will load its settings from that directory. The "start" command will cause Windows to spawn the jar as an independant process of the command prompt window, leaving it free to close. Then, run jEdit as normal!

---start_jedit.bat---
@echo off
set GUI=-Dswing.defaultlaf=com.sun.java.swing.plaf.windows.WindowsLookAndFeel
set CNFG=^-settings=%CD%\settings
start %CD%\jedit.jar %CNFG%
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