I'd start by reading the 1.2 documentation:
http://jquerymobile.com/demos/1.2.0/It looks like they've made a mess of the documentation this morning by switching over to the new docs, and declaring 1.3RC1 "stable". The demo/examples are now separate from some new API documentation:
http://api.jquerymobile.com/However, there doesn't seem to be any basic setup instructions (how to link to the scripts/CSS, etc.) in the new docs. They are not ready for prime time.