jQuery is a client-side scripting tool. ASP .Net is a server-side language.
You are correct, to add a reference to jQuery for all pages it is a good idea to use a master page for this purpose.
In the master page, you simply add the HTML script reference to the master page:
<@ MasterPage .... >
<html>
<head>
<script src="../Scripts/jquery-1.4.1.js"></script>
</head>
<body>
<asp:ContentPlaceHolder id="Content" />
</body>
</html>
Add a script element for each of the jQuery scripts. Make sure the jquery-1.4.1.js is the first referenced though.
Also make sure you use the <script></script>
instead of <script/>
due to some browser issues.
Some newer Visual Studio MVC project files do this script referencing for you (as Lenial mentioned), and this may be easier.