Where and How does Hudson/Jenkins store data

Generally speaking this is a bad idea. Database software need tight control of the files they use (for obvious reasons). If you put your database files on NTFS on Linux, you're asking for trouble.

Write support for NTFS on Linux is (afaik) still rather experimental. I have no idea how well-behaved file locking is on this combination.

My advice would be to export the database from windows using mysqldump or something like that, and rebuild the database on the linux side using that dump - with the data on a native filesystem (ext, xfs, reiserfs, ... whatever you feel is best).

Here is my nginx configuration file, even though I access Hudson through https (port 443):

The trick with reverse proxy (Apache or Nginx) is to always keep the same path:
If you want to redirect to a_long_and_complex_address/hudson, keep the /hudson part: myserver/hudson.
Don't try to redirect myserver to a_long_and_complex_address/hudson: all sorts of scripts and pictures, with absolute paths ('/') will broke.
Redirect myserver/hudson to a_long_and_complex_address/hudson.

Plus, you can redirect myserver/other_services to a_long_and_complex_address/other_services as well ;)

worker_processes  1;

error_log  logs/error.log  debug;
pid        logs/nginx.pid;

events {
    worker_connections  250;
}

http {
    include       mime.types;
    default_type  application/octet-stream;
    log_format  main  '$remote_addr - $remote_user [$time_local] "$request" '
                      '$status $body_bytes_sent "$http_referer" '
                      '"$http_user_agent" "$http_x_forwarded_for"';
    access_log  logs/access.log  main;

    sendfile        on;
    #tcp_nopush     on;
    #keepalive_timeout  0;
    keepalive_timeout  150;
    #gzip  on;

    port_in_redirect   on;
    proxy_redirect     off;
    proxy_set_header   Host             $host;
    proxy_set_header   X-Real-IP        $remote_addr;
    proxy_set_header   X-Forwarded-For  $proxy_add_x_forwarded_for;

    server {
        listen       443;
        server_name  (some alias);
        # default max client body size was 1m! => Error code is 413
        # here: max 10Go
        client_max_body_size 10000m;

        ssl                  on;
        ssl_certificate      /home/xxx/.ssl/my.crt;
        ssl_certificate_key  /home/xxx/.ssl/my.key;
        ssl_session_timeout  5m;
        #ssl_protocols SSLv2 SSLv3 TLSv1; # NO: SSLv2 prohibited
        ssl_protocols  SSLv3 TLSv1;
        ssl_ciphers  ALL:!ADH:!EXPORT56:RC4+RSA:+HIGH:+MEDIUM:+LOW:+SSLv2:+EXP;
        ssl_prefer_server_ciphers   on;

        rewrite ^/hudson$ https://myserver/hudson/ redirect;
        location /hudson/ {
          proxy_pass https://complex_address:8xx3/hudson/;
        }
    }
}