Download the latest jQuery library from jQuery.com http://docs.jquery.com/Downloading_jQuery.
Add reference to the jQuery library file in ASPX page / Master page that uses jQuery.
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1.<script src="_scripts/jQuery-1.5.js" type="text/javascript"></script>
2.<script language="javascript">
3.$(document).ready(function(){ $("a").click(function(event)
4.    { alert("Welcome to jQuery"); }); });
5.</script>