The right thing is to install the execution policy on your computer (a one-time action), after which you will not need to bypass it every time, and the Jenkins plugin should "just work". You can not?
A sensible starting parameter would be RemoteSigned, which will allow you to execute local scripts in order, but will still prohibit scripts downloaded from the Internet.
At the extended PowerShell prompt, you should run:
Set-ExecutionPolicy RemoteSigned
See also: http://technet.microsoft.com/library/hh849812.aspx
UPDATE: excerpt from the certificate on the application of the policy and how it should behave:
If you set the execution policy for the local computer (by default) or the current user, the change is saved in the registry and remains until you change it again.
Of course, if your machine is in a domain, Group Policy can return it.
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