First of all, this script should probably be using at least jQuery 1.6.4 now. So -
1) You can use Google's ssl server"
2) Or you can download and host your own copy (right click and 'Save As'):
3) Or you can (works only on a live page) skip the protocol:
That way if it's a secure page, it will use the secure version (https:), and if it's a regular page it will use http:
I actually prefer this last option because then it will work on either type of page as long as it's live. The advantage of using Google (options 1 or 3) is that chances are your visitors will already have the script cached. If your users are likely to be in another country though, it might be better to either host it yourself (if your server is also in that country) or find a widely used third party host (like Google is here in the states*) in that country that hosts the script.
I just reread your post and I'm not sure what the problem is you're having hosting the script on your server. If you continue to have trouble with that after downloading a fresh copy of the script from the link above and want help with it, please post a link to a page on your server that demonstrates the problem.
*Google has hosts in many other countries. If you're in that situation, you could perhaps use one of those.