You need to close a script tag.
Here's a working example: http://jsfiddle.net/Gajotres/G223H/
Code example:
<!DOCTYPE html>
<html>
<head>
<title>jQM Complex Demo</title>
<meta name="viewport" content="width=device-width"/>
<link rel="stylesheet" href="http://code.jquery.com/mobile/1.2.0/jquery.mobile-1.2.0.min.css" />
<script src="http://code.jquery.com/mobile/1.2.0/jquery.mobile-1.2.0.min.js"></script>
</head>
<body>
<div data-role="page" id="index">
<div data-theme="a" data-role="header">
<h3>
First Page
</h3>
<a href="#second" class="ui-btn-right">Next</a>
</div>
<div data-role="content">
<script src="http://www.gmodules.com/ig/ifr?url=http://www.google.com/ig/modules/youtube.xml&up_channel=mychannel&synd=open&w=320&h=390&title=&border=%23ffffff%7C3px%2C1px+solid+%23999999&output=js"></script>
</div>
<div data-theme="a" data-role="footer" data-position="fixed">
</div>
</div>
</body>
</html>