What O/S are you running?

Anyway, regardless, I think in your manual invocation you are missing the -jar flag.

If you open a command window in your OS, (e.g. a DOS prompt if it is Windows), and then navigate to the directory containing your installation jar, you should be able to execute it manually with the following command:

java -jar jedit41install.jar
or
javaw -jar jedit41install.jar


You might also want to double-check that the correct version of the jdk is really installed by typing

java -version

Incidentally, I just double-checked my windows settings. If you are using Windows, you might want to check the file association exists for JAR, as follows. The instruction here work with XP. Other windows versions will be similar, but not necessarily exactly the same. Hopefully it'll give you enough to work with though.

Open Windows Explorer.
Click on tools-folder options
Click File Types
Wait a few "microsoft seconds" for it to load list of file types

Scroll down list of extensions to see if there is an entry for JAR "Excutable Jar File".

If there isn't one:
click "New". Specify JAR as the extension. Click OK

Specify details for how to open the JAR file, by clicking the Advanced button.

Specify the action by clicking New next to the (as yet empty) list of actions.

In the New Action dialog, type
Action:
open
Application used to perform the action:
"C:\Program Files\Java\j2re1.4.2_03\bin\javaw.exe" -jar "%1" %*
(Obviously specify the path as appropriate for your jre, or jdk)

Press whatever buttons are needed to ok and close the dialog(s)

Then double-clicking on the .jar file should work.

hth