I would verify a few things:
1) Make sure the jQueryUI CSS you have is generated by ThemeRoller and is for the version of jQueryUI you are using. If possible, point to a CDN and test with just the base theme.
2) Verify that you actually have the images used by jQueryUI. They'll be in a separate folder named "images" at the same level as your CSS file. The small images (ui-icon-* in the CSS) used by jQueryUI are all within the same file (Ex. ui-icons_222222_256x240.png) and CSS background-position is used to find the needed image.