If you want, you can just download jQuery, put it on your server and link to it from your header.php file in thesection. But that can cause you grief. For one thing, some plugins use the jQuery library, and they are going to load it as well. This can cause problems. How was your plugin to know you already had it loaded?
Another thing is that WordPress already includes a copy of jQuery. Here is how you can load up jQuery in your theme the smart (and intended) way. Put the following code in your header.php file in thesection:
< ?php wp_enqueue_script("jquery"); ?>
< ?php wp_head(); ?>