What does your desktop shortcut properties say? (Right click on it and select "Properties"). It sounds like the .jar file is not recognized by your O/S as a java executable file. It has to do with whether your O/S has added the property to its registry.
What JRE version are you using? You may want to re-install your JRE.
Recently we heard some reports that XP SP3 and JRE 1.6 don't mix too well - there are display problem when running i-TRiLOGI. When our users remove JRE 1.6 and installed JRE 1.4.2 the problem was resolved. However, JRE 1.6 and XP/SP1 and SP2 has no such problem. Vista also seems to work OK with JRE 1.6. Only SP3 is the problematic one.