jQuery installation

Hi all, I found in Autocomplete in combobox mode, what I need for a piace of code. So I decided to use it.
The question are:
- Which is the best way to include libraries: online, local? And which files?
- I used the combobox by downloading the "View code" part from demos, why it doesn't work with the complete package?

I'm sorry but I don't know jQuery, because I do other for job.