I have to apologize to the jQuery team, as it seems that jQuery does work. It seems there was a very strange issue with the Finjan software we are using at the office. When I downloaded jQuery at home, all seemed to be working.. after doing a file compare between what I got at the office and what I had downloaded at home, there was 1 line (the line I mentioned in previous post), different.
Anyway, this has been a lesson for me to double check the firewall and proxies..