Jenkins is a web server which is majorly used in production server...and in prod servers, most of the times, there are no GUIs.
But if you want to enable the GUI coming up in your lcoal machine, then it is still possible. 2 steps:
1. Open Windows services (or run: services.msc)
2. Double click on Jenkins service
3. In Logon tab, check this box: "Allow service to interact with Desktop"
Now it should work fine for you. ATB