[jQuery] newbie question

I've tried loading jquery.js into a site several times several
different ways and can't even get an alert to pop up. I can get a test
page to work only if I use an src address to google's jquery.
Can't I just upload the jquery-1.3.2.min.js file or is there some
configuring I have to do?
What problem should I look for on my web account?
.......Ron