You should call jQuery.getScript, which does exactly what you're looking for.

EDIT: Here is the relevant source code from jQuery:

var head = document.getElementsByTagName(head)[0] || document.documentElement;

var script = document.createElement(script);

if ( s.scriptCharset ) {

    script.charset = s.scriptCharset;

}

script.src = s.url;



// Handle Script loading

    var done = false;



// Attach handlers for all browsers

script.onload = script.onreadystatechange = function() {

    if ( !done && (!this.readyState ||

            this.readyState === loaded || this.readyState === complete) ) {

        done = true;

        jQuery.handleSuccess( s, xhr, status, data );

        jQuery.handleComplete( s, xhr, status, data );



        // Handle memory leak in IE

        script.onload = script.onreadystatechange = null;

        if ( head && script.parentNode ) {

            head.removeChild( script );

        }

    }

};



// Use insertBefore instead of appendChild  to circumvent an IE6 bug.

// This arises when a base node is used (#2709 and #4378).

head.insertBefore( script, head.firstChild );