Unfortunately I got errors when trying to install it as a Windows Service .
Checking hudson.wrapper.log I saw:
2010-03-08 10:49:21 - Starting java -Xrs -Xmx256m -Dhudson.lifecycle=hudson.lifecycle.WindowsServiceLifecycle -jar "C:\Users\Administrator\.hudson\hudson.war" --httpPort=8080
This made me realise that the problem was that it didin't know how to start Java.exe. So I simply added it's directory ("C:\Program Files (x86)\Java\jre6\bin\") to the PATH environment variable.
Problem sorted. Hudson now runs as a service without problem.