Why:
10 years ago we as software developers used to analyse something to the nth degree get the documents (written in a human language) 'signed off' then start writing code. We would unit test, string test and then we would hit system test: the first time the system as a whole would be run together, sometimes week or months after we got the documents signed off. It was only then that we would uncover all the assumptions and misunderstandings we had when we analysed everything.
Continuous Integration as and idea causes you to build a complete (although, initially, very simple) system end to end. Over time the system functionality is built out orthogonally. Every time you do a complete build you are doing the system test early and often. This means you find and fix bugs and assumptions as early as possible, when it is the cheapest time to fix them.
How:
As for the how, I blogged about this a little while ago:[ Click Here]
Over 8 posts it goes step by step on how to set up a Jenkins server in a windows environment for .NET solutions.