Jquery is one of the most common thing on any website. The amazing library let's us do a hell lot of things in a very simplified manner. But there is yet another very very powerful library the jQuery UI which we can use to get some amazing functionalities to our website very easily. http://jqueryui.com is the website that I am talkig about.
You can go and download the complete set from this link. I personally include most of the things which I feel will be required because adding all of them only adds up to 200KB file which now a days is not a big file to download.
So, once you download this, you will get the demos, the css and the js files. The most important of them are: jquery-1.6.2.min.js and jquery-ui-1.8.16.custom.min.js which you need to include. The first being the default jquery and the second is the api file. And because the elements use a lot of css and image icons, you also need to inlcude the images folder along with the css file "jquery-ui-1.8.16.custom.css". Make sure the paths for the images are correct.
Here are the two screen shots to show the paths and the folder structure
Once done you are ready to take on the jQuery UI and all its components.