Resolution:
To Configure BW Java Code activity to open Code in jEdit - Configure your "Java Editor Path" something like below : ( Don't use jEdit.exe here )

C:\j2sdk1.4.2_03\bin\java.exe -jar "C:\Program Files\jEdit 4.1\jedit.jar"

Pleas replace appropriate path for java.exe and for jedit.jar .

Even after doing this, if still does not work - Make sure you do have C:\temp folder in your system - if not pleas create one. If you have installed BW in somewhere lese like in E:\ then make sure E:\temp folder exists.