It's a good idea to use the web package as it will ensure you to be always up to date.
First thing to note is that you can create a shortcut (i.e on your desktop or in the quick launch bar) to XStudio or XStudio web version from the control panel:
Windows start menu > Control Panel > Programs > Java > General > Temporary Internet Files > View... > Install Shortcut
You can also use this command line:
<Java Install Folder>/bin/javaws.exe -localfile -J-Djnlp.application.href=http://<server>:<port>/XSTUDIO/bin/xstudio.jnlp (same applies for xagent.jnlp)