You will find less pain if you launch the agent by hand using the jnlp agent method and then using the install as service option.
The error you are seeing looks like a firewall blocking the CIFS ports (file sharing) -- You received this message because you are subscribed to the Google Groups "Jenkins Users" group. To unsubscribe from this group and stop receiving emails from it, send an email to jenkinsci-users+unsubscr...@googlegroups.com. To view this discussion on the web visit https://groups.google.com/d/msgid/jenkinsci-users/39001a9c-d9f4-495f-a415-0c791962bd06%40googlegroups.com. For more options, visit https://groups.google.com/d/optout.