Understand the formula for every horror movie. They tend to begin with a bang, which means there is a great scare at the beginning. Be prepared for it and steady your breathing to stop jumping during a horror movie.
Know that when the creepy music starts, something is likely to jump out of the shadows. When you hear the tell tale music playing, keep your nerves steady and watch out for the escape convict with a hook for a hand.
Look the other way when you feel the tension building. Any good horror movie director knows that building tension is the key to a sure fire jump fest. Just look the other way when you begin to feel tense, and you'll stop jumping during the scary parts.
Keep your mind on the humor in a horror movie and you can stop yourself from jumping. Laugh at the unrealistic parts. By staying aloof during the movie and not getting sucked into the story, you can sit back and enjoy the movie and avoid embarrassment.
Make fun of the stupidity you see on screen, but don't become a nuisance to those around you. Make light of the actor who thinks it is a good idea to go outside when there is a killer on the loose.
Watch lots of horror movies and as you become desensitized to the genre in general you will stop jumping when watching them.
Keep the volume low on the TV. If it's too loud, the shocking screams and shrieks will have a bigger impact on you.