Also i wanted to know, i have installed jenkins, now i have stopped that and shut down my machine, now i again want to start jenkins, do i need to again run that war file?
this will recreate the .jenkins directory.
You provide a link to the Cobertura plugin. Did you read that page? (In general, plugin configuration information will show up in two places: under Manage Jenkins | Configure System, and in job configuration. And next to the plugin-specific config items there will be a (?) button that you can click to view help on that field.)
Yes, you need to start Jenkins again. No it will not recreate the .jenkins directory, it will simply use what is there already. (By the way, you can set up Jenkins as a service so that it will start automatically)