Download the library from jquery.com. Get the latest stable version. It's all contained in one file, called something like jquery-1.3.2.min.js. There are lots of extensions for jQuery, called plugins. We'll use some later. But for now, let's stick with the basic library.
Save the jQuery file somewhere on your Web site, where your HTML files can get at it. I usually create a directory called lib or library or resources or some such, and put the file there.