Very first tutorial at jquery.com doesn't work

Very first tutorial at jquery.com doesn't work

I'm trying to do the very first jquery.com tutorial, a simple function to add an alert to an anchor tag.  It won't work.  I've checked and javascript is enabled in all browsers.  I tried switching between Firefox and IE, thinking it was the "Firefox doesn't support onclick for anchor tag" bug.  No luck.  No error messages or warnings, just won't do alert.  Any ideas?

<%@ Page Language="C#" AutoEventWireup="true" CodeBehind="Default.aspx.cs" Inherits="JQueryTutorial._Default" %>

<!DOCTYPE html PUBLIC "-//W3C//DTD XHTML 1.0 Transitional//EN" "http://www.w3.org/TR/xhtml1/DTD/xhtml1-transitional.dtd">
<html xmlns="http://www.w3.org/1999/xhtml" >
<head runat="server">
    <title>Page Title</title>
    <script type="text/javascript" src="jquery-1.4.1.js" />
    <script type="text/javascript">
        $(document).ready(function()
        {
            $("a").click(function(event)
            {
                alert("Thanks for visiting!");
            });
        });
    </script>
</head>
<body>
    <form id="form1" runat="server">
    <div>
        <a href="http://jquery.com">JQuery</a>   
    </div>
    </form>
</body>
</html>