Hello World JQuery (easy question)

Hi everyone

I’m not too experienced with wordpress. I have tried following tutorials but cant seem to get a the following piece of code working:

<a href="">Link</a>

<script>
 $(document).ready(function() {
   $("a").click(function() {
     alert("Hello world!");
   });
 });
</script>

Please note that this jquery code is only going to be on one page if that makes any difference. I would really appreciate it if anyone that can help me get this working in easy to understand, simple steps.

Thanks!