bJQueryUI: true not working in my code

Hi,

This is my day one with jQuery. I am using Data Table to display data in my HTML table.

I am using the following config options.

$("#myTable_id").dataTable({
             bJQueryUI: true,
             sPaginationType: "full_numbers"
});

I am able to see the paging details, but I am unable to see the proper UI like in the third screenshot in the link below (though I have used bJQueryUI: true).
http://www.codeproject.com/Articles/194916/Enhancing-HTML-tables-using-a-JQuery-DataTables-pl#Introduction

I learn that ThemeRoller is used to accomplish this (http://datatables.net/usage/features). Should I download and include ThemeRoller related files in project or does dataTable plugin internally contains ThemeRoller's code and style.