- a link to a CSS file that includes the styles for the gallery;
- a link to the jQuery library (a single file with all the jQuery code in it, such as jquery.js—call it what you like. You can also link to Google's online version of the library, too.)
- a link to another JS file with the jQuery.PictureSlides.set code in it. (In the demo's case, they actually have that JS code on the page itself, so it's up to you whether you just place it in <script> tags and place it on the page itself like they do or put it in another js file on your site and link to it like the other JS files.)
These days, rather than put the <script> links in the <head> of the document, it's recommended that you place them just before the closing </body> tag on the page itself.
Does any of that help?