What is Jquery
How to start with jquery
If you are new to jquery then first of all visit to Jquery website and download the jquery code. There are two version available for jquery one is production and other is Development.
The difference between these two version is production version is compressed(size 31kb) and development(size 229kb) is uncompressed . But if you're beginner you don't need development version just download the production version.
Google Hosted Jquery Library
You don't need to download the jquery version into your local version.
Just include following script into your code and your ready to use jquery
Microsoft Hosted Jquery Library