If you don't currently have a webserver running locally, a quick way to get up and running is to download and install Mamp for Mac OSX. Once installed, just open Mamp, click preferences, go to the Apache tab, and select your local jQuery Mobile folder as the root. Then you can open a browser to http://localhost:8888 to preview the code.
An alternative is XAMPP, which is also available for Windows, though you need to actually modify Apache's httpd.conf to point to your checkout: http://www.apachefriends.org/en/xampp.html
You need the Rewrite (mod_rewrite.so), Expire (mod_expires.so) and Header (mod_headers.so) modules loaded.