What directories do you mean?
Jquery is completely separate from CF, you will always need to include it manually if you want to use it on your page.
The date picker you are talking about will be a third party one that is based on jQuery. jQuery does have a normal date picker that is used in jQuery-UI package but again this needs to be manually included on your pages.
The directory is: ColdFusion11\cfusion\wwwroot\CFIDE\scripts\ajax
If you want to use date pickers, either use CFCalendar (Which i would not recommend, stay away from CF UI tools) or find the documentation for using jquery-ui and using the datepicker there.