Go to jquerymobile.com - download latest stable version 1.2.0 - production - scroll down to : ZIP File:
If you want to host the files yourself you can download a zip of all the files:
Unzip the file and place the folder in your sites root folder.
Go to jquery.com - download query - production - save the document as Page source (if in Safari) to the above folder.
Thats it, everything plays !
Good luck and best regards