All the files and other resources needed are reported in the wrapper.conf file under the "conf" directory.
Did the Server log anything?
If not, can you see any console output from the Server in the wrapper's own log file?

Also note that the included version of the "java service wrapper" has some limitations. For instance, it does not support 64bit windows; you may use sc.exe in those cases.

[NOTE the new wrapper included with Lightstreamer 4 now supports 64 bit machines out of the box]