How to download jQuery?
Goto this page : http://docs.jquery.com/Downloading_jQuery
Right Click the download link and click "Save Link As" (FF) or "Save Target as" (IE) and save it in your preferred location.
There are many ways you can get this to work
(it is supposed to show you the code like that)
You can copy all the code and save it as and jquery.js file and the call it like this:
<script type="text/javascript" src="jquery.js"></script>
Or you could just call it like this:
<script type="text/javascript" src="http://code.jquery.com/jquery-1.4.2.min.js"></script>
You can also link to it from many different places:
http://code.jquery.com/jquery-1.4.2.js Source version
Google Ajax API CDN
http://ajax.googleapis.com/ajax/libs/jquery/1.4.2/jquery.min.js
Microsoft CDN
http://ajax.microsoft.com/ajax/jquery/jquery-1.4.2.min.js
Read more here:
http://docs.jquery.com/Downloading_jQuery
EDIT:
If you want to download the code you can actually do it! right-click the checkbox for example: PRODUCTION (24KB, Minified and Gzipped) and choose save as (maybe you´ll need to add the .js extension) "Thanks to: Jason McCreary & deceze"
EDIT:
To clarify your comment, you should include the jQuery like this:
<script type="text/javascript" src="jquery.js"></script>
and now work as usual:
<script type="text/javascript" src="any_other_file.js"></script>
or
<script language="javascript" type="text/javascript">
your javascript here
</script>