Basically it seems that you can’t use the following combination: https + jQuery CDN (code.jquery.com) + Internet Explorer / Windows XP.
Altough jQuery 1.x officialy supports Internet Explorer 6+, this doesn’t work.
Why? It seems that the official jQuery CDN can’t handle https connections coming from Internet Explorer running under Windows XP.
Internet Explorer gives you absolutely no warning, it just fails to download the jquery file. If you must support Internet Explorer 6 or 7 running under Windows XP these are some workarounds.
You can serve the jquery file directly from your own server or you can choose another available CDN (eg: Google CDN’s seems to be working fine with IE). Check the “other CDNs” section on the jQuery download page.
Another alternative is to use http-only links for code.jquery.com but that will only work right if you’re site is not on https.