I had the same issue, and yes I had my jquery included first followed by the jquery validate script. I had no idea what was wrong. Turns out I was using a validate url that had moved. I figured this out by doing the following:
In my situation I had a 403 Forbidden error when trying to obtain (http://dev.jquery.com/view/trunk/plugins/validate/jquery.validate.js which is used in the example on http://rocketsquared.com/wiki/Plugins/Validation ).
Turns out the that link (http://dev.jquery.com/view/trunk/plugins/validate/jquery.validate.js) had moved to http://view.jquery.com/trunk/plugins/validate/jquery.validate.js (Firebug told me this when I loaded the file locally as opposed to on my web server).
NOTE: I tried using microsoft's CDN link also but it failed when I tried to load the javascript file in the browser with the correct url, there was some odd issue going on with the CDN site.