Download Jenkins from - https://jenkins.io/download/

Generic Java package (.war) - jenkins.war

Decide jenkins directory - Where Jenkins will put all it's config and jobs that you will configure later

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Decide jenkins port, e.g. 9090

(On Windows)

SET JENKINS_HOME=C:\Users\jadhavv\Downloads\jenkins

java -jar jenkins.war --httpPort=9090 

(On Unix Variants)

export JENKINS_HOME=/u01/software/jenkins

java -jar jenkins.war --httpPort=9090 

Go to your favourite browser and type,

http://host:port/ -> In my case here, http://localhost:9090/

Enter initialAdminPassword from the file (See red coloured file location)
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Install suggested plugins

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Go to Manage Jenkins to configure Jenkins - plugins, security and lot more..
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For Jenkins Security follow,

https://wiki.jenkins-ci.org/display/JENKINS/Standard+Security+Setup

Create views for - Controlling What You See (with the View Job Filters Jenkins Plugin)