jQuery is included in WordPress core and when you include your javascript, you can declare that your script is dependent on jquery being loaded as the third parameter of wp_enqueue_script: http://codex.wordpress.org/Function_Reference/wp_enqueue_script.

The proper way to use wp_enqueue_script is to include it in a callback that is attached to a specific action hook. That sounded incredibly complicated to me when I started with WordPress, but it's actually a really good system because it allows you to specify when your code should run during the initialization of WordPress.

So, in your functions.php or a plugin, you add your hook.

add_action( 'wp_enqueue_scripts', 'my_js_include_function' );

Then, in that function, you running the actual inclusion, and declare that your script is dependent on jquery.

function my_js_include_function() {

    wp_enqueue_script( 'my_script.js', '/path/to/myscript.js', array('jquery') );

}

The first parameter of wp_ennqueue_script() is an arbitrary name you are assigning to your script. If you were to then declare another script was dependent on the original one, that's how you would refer to it in the third parameter.