Getting started, new to JQuery. Need help downloading, referencing, and implementing for Tabs

Getting started, new to JQuery. Need help downloading, referencing, and implementing for Tabs

This is my first attempt at JQuery.  I'm interested in using Tabs and I've downloaded and followed some examples but the tabs show up as links rather than tabs.  I suspect I don't have the right references.
 
I downloaded jquery-ui-1.9.2.custom.zip and jquery-ui-1.10.1.custom.zip
 
I followed some examples on how to implement a slider but it didn't work, then I copied the example code for the Tab from this site and it displayed the tabs as links rather than tabs.  It's evident that I'm doing something wrong by not referencing the right files.
 
Could someone walk me through how to make sure I have the right files in place, where and how they should be referenced, and how to get the Tab example to work.
 
I'm using ASP.net MVC 3
 
Question what's the difference between jquery-ui-1.9.2.custom.js and jquery-ui-1.9.2.js