As far as I know the Windows JAI download, is actually a self extracting archive. You should be able to extract its contents using a 3rd-party archive manager (such as 7-zip, WinRAR etc.).
Note that JAI is included in the Tersus installer for Windows, so you only need to install it manually if you're using the cross platform installation method, and even then the studio will work perfectly fine without it, as will the embedded server for all functionality except image manipulation (Miscellaneous/Convert Image) will not work.
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