We can do directly using page.xml or local.xml.
In Some custom module we need to add jQuery, If we add jQuery using our module layout xml file, that will be add after all Prototype library so that lot of problem occurs because jQuery add after prototype like jQuery and Prototype conflict.

You can do using following way :-
Using Observer
Add below code in config.xml file in your module

Observer model:

Helper Class :-

 

Reference Sites:
http://blog.belvg.com/magento-tips-how-to-include-jquery-into-magento.html
For Download module  Click Here

Issue Fixed By: Sunil Patel