New to jQuery!

New to jQuery!

Hey, sorry if this is a simple question, I've recently started to learn Java, jQuery & C#. So as with most of new languages I'm still learning the basics. 
So, basically I'm slightly confused about how jQuery is integrated into a live HTML website. I've used it before, with Wordpress plug-ins, and pre-integrated into templates.

But this is my first time trying to integrate jQuery into a site of my own design, I've found a plug-in that would be perfect, but struggling now.
Below is the plug-in I'm interesting in integrating:

If anyone can point me in the right direction, I have all the files, and I know that I need to take part of the code and put it in the Header of the page, and then the main part in the body, Pointing to where the files for the AD Gallery are.

Sorry for coming across as a newbie! But everyone has to start somewhere!
Thank you in advance for any help!

- Jamie