This file is a harmful and undesirable program. Probably virus. It's recommended to delete it.
What is jesse.exe Windows startup process
File name: jesse.exe
Program name: a
Description: W32/Melo-A worm.
Information added by: Lavocca at 11 January 2009
Hint: If jesse.exe file is a virus or trojan, we recommend to use a antivirus software or registry cleaner.