Yeah, she's a tough one. When the fight starts she can open with a Death spell which'll knock someone out more often than not. Red Light hits with Confusion, Fury, and D. Sentence while Tropic Wind hits with Silence, Dual Drain, and generally wipes out MP on the entire team.
Jenny Death is vulnerable to an element called 'Cut' which is on a lot of Cloud's weapons. Equipped with a Gigas Armlet and a Power Wrist (with Mystify+Added Effect in the armour, as well as some Long Range Materia) you can be hitting for about 4000-5000 a hit depending on the weapon; kind of a necessity as she has roughly 180,000HP.
Your other two party members should focus on healing and defence. Give one a Fire Armlet and the other Fire+Elemental (it'll negate/absorb Tropic Wind), along with some Peace Rings (anything that can protect against Confusion but NOT a Ribbon unless there's nothing else). These two should work on maintaining MBarrier on the team (switch to Wall when the 'All' runs out), Death Force, and healing. Note that Barriers won't work on anyone equipped with a Ribbon. They should also throw Slow at Jenny to buy some breathing space between attack waves.
For healing, White Wind and Regen can be effective in tandem, with the latter fighting off the Dual-Drain that Cloud will be taking from Tropic Wind (the other two won't get hit by it if they're immune to/absorb Fire).
An alternative strategy might be to deplete her 1700MP. Gear someone up with a Wizard Bracelet/Four Slots, Magic Plus, and an Earring then have them chuck out Magic Breath (with the other two supporting him/her) to deplete Jenny's MP in no time. Haven't tested it, but she doesn't absorb any elements that I can remember so it should work. Should disable all of her attacks, just like in the regular game.