SharePoint Site doesn't support JQuery from scratch. You have to add it manually. It can be done in several ways:
Step 1. Adding JQuery :
1) Deploy JQuery as a custom feature.
2) Upload JQuery as a simple file to the document library.
Step 2. Adding reference to the JQuery :
1.1) Create custom master page with reference to the JQuery.
1.2) Create web site based on the custom master page.
2) Add Content Editor web part to the page. In the web part's properties specify the link to the file.
However to show Dialogue in SP 2010 you should use SP.js. Just add the reference to SP.js in the page and call
I am not sure what you're going to learn by doing this over and above just using jQuery on a non-SharePoint html page but...