jQuery, a Javascript library, is very easily can be added to a webpage; it is enough to download it and add a reference to a web page. jQuery is a single javascript file. Official site where you can download the last version is http://jquery.com.

1) Download the latest version from the official site

2) Copy the file to a location where you will create a site

3) Add the following line to the head tag of your site page:

<script src="jquery-1.7.2.js" type="text/javascript"></script>

In the last step you tell to the web page to load jQuery library you previously copied into the same (or any other) folder.