In this blog Jeff Cogswell explains how jQuery Support in Visual Studio works. The magic is to use the following code in your web page.

<script src="jQuery-1.2.6-vsdoc.js" type="text/javascript"></script>

This source file "jQuery-1.2.6-vsdoc.js" is actually identical to the standard jQuery JavaScript file "jQuery-1.2.6.js", except all the functions and objects in it have been annotated with special comments. These comments tell Visual Studio IntelliSense about the objects as it parses the file.