The jQuery library is a single JavaScript file, and you reference it with the HTML <script> tag (notice that the <script>tag should be inside the <head> section):
One big advantage of using the hosted jQuery from Google:
Many users already have downloaded jQuery from Google when visiting another site. As a result, it will be loaded from the cache when they visit your site, which leads to a faster loading time. Also, most CDN's will make sure that once a user requests a file from it, it will be served from the server closest to them, which also leads to faster loading time.