Don't include jquery using the method described in the other answer. This will potentially cause conflicts with the jquery version that may be bundled with your DNN installation and/or other modules.
To include jQuery in DNN, it's as follows:
DotNetNuke.Framework.jQuery.RequestRegistration()
If you want jquery UI, use:
DotNetNuke.Framework.jQuery.RequestUIRegistration()
If you want to do it through a ASCX file, use this:
<%@ Register TagPrefix="dnn" TagName="JQUERY" Src="~/Admin/Skins/jQuery.ascx" %>
<dnn:JQUERY ID="dnnjQuery" runat="server" />
More information can be found here:
http://www.dnnsoftware.com/wiki/Page/jQuery
The version of jquery and whether it uses a hosted file can be configured in host settings -> advanced settings -> jquery settings.