help with Initialisation code

Hi All,
I am new to using DataTables and JQuery. I was going through the set up steps as a test and the instructions say to add the following code, but I am not sure where I am suppose to insert this code. Does the code go in a new file? Or is it inserted in an existing file, like jquery.js or jquery.dataTables.js or in the html file? Thank you for your patience and input.

$(document).ready(function() {
$('#example').dataTable(); } );