You can't run a Jar file as an executable.
To start a server on windows, you have to know that the java.exe is in you PC PATH variable (usually the java installer does it for yourself, but if you have java from other sources, it could as well not do it).
Then open cmd, use the cd command to get into the directory you installed the jar file (remember to set your wanted options in server.properties) and then run:
c:\path\to\server> java -Xmx1024M -Xms1024M -jar server.jar¹² c:\path\to\server> java -Xmx2048m -Xms512m -XX:+UnlockExperimentalVMOptions -XX:+UseG1GC -XX:MaxGCPauseMillis=50 -XX:G1HeapRegionSize=32M -jar server.jar¹
If you don't want the GUI popping up, you can add “nogui” (without quotes) at the end after server.jar, keep in mind that the windows console has a bug that may freeze the server if you start it up without the gui.
¹ Or whichever name you called the jar when you downloaded it.
² Thi is the official way, i recommend using the latter command line as the options are from the client version and improve the responsiveness.
These are the official instructions for 1.16: https://www.minecraft.net/en-us/download/server/