Like Ingmar many people are linking to the files on Google’s servers as this has the advantage of caching the file for many of your visitors.
You can also install the file on your local server. Put the js file is a /js/ folder and then link to it using
<scr*pt type="text/javascript" src="/js/jquery-1.2.6.pack.js"></scr*pt>
Then you need to create some JavaScript that uses jQuery. Personally I create another file in /js/. Make sure you include this file *after* the jQuery script. So it might look something like this:
<scr*pt type="text/javascript" src="/js/jquery-1.2.6.pack.js"></scr*pt>
<scr*pt type="text/javascript" src="/js/onDomLoad.js"></scr*pt>
Put some code in the onDomLoad.js file to check it is working
$(document).ready(function() {
alert("Look Mum, I'm using jQuery!");
});
Reload the page and if the alert shows jQuery is ready to use!
* Note as the EE forums strip out script tags make sure you change the sc*pt to script in the above code examples!