Steps to reproduce on windows:

Unzip mongo to "C:\Program Files\mongodb-
win32-i386-1.4.2"
from a command prompt run "C:\Program Files\mongodb-
win32-i386-1.4.2\bin\mongod" – install

You will get the following output
C:\Program Files\mongodb-win32-i386-1.4.2>"c:\Program Files\mongodb-
win32-i386-1.4.2\bin\mongod.exe" --install
Wed Apr 28 12:49:30 dbexit:
Wed Apr 28 12:49:30 shutdown: going to close listening sockets...
Wed Apr 28 12:49:30 shutdown: going to flush oplog...
Wed Apr 28 12:49:30 shutdown: going to close sockets...
Wed Apr 28 12:49:30 shutdown: waiting for fs preallocator...
Wed Apr 28 12:49:30 shutdown: closing all files...
Wed Apr 28 12:49:30 closeAllFiles() finished
Wed Apr 28 12:49:30 dbexit: really exiting now
C:\Program Files\mongodb-win32-i386-1.4.2>"c:\Program Files\mongodb-
win32-i386-1.4.2\bin\mongod.exe" --service
Wed Apr 28 12:49:37 dbexit:
Wed Apr 28 12:49:37 shutdown: going to close listening sockets...
Wed Apr 28 12:49:37 shutdown: going to flush oplog...
Wed Apr 28 12:49:37 shutdown: going to close sockets...
Wed Apr 28 12:49:37 shutdown: waiting for fs preallocator...
Wed Apr 28 12:49:37 shutdown: closing all files...
Wed Apr 28 12:49:37 closeAllFiles() finished
Wed Apr 28 12:49:37 dbexit: really exiting now

Mongod choked on the space in the path name, but does not properly report it. One of two things should happen:
1) A helpful error message when this occurs.
2) Let mongod handle paths with spaces with them, at least on windows.
Its not common to have spaces in paths on windows, but as a windows
guy I want to stick all my stuff in "c:\Program Files".