Open notepad, paste the code, go File->Save as->write a name.js ->Make sure you choose All Files -> click save


P.S. You can upload this to another site, just point that .JS file in header...
Code: 
<script  src="http://ajax.googleapis.com/ajax/libs/jquery/1.3.2/jquery.min.js"  type="text/javascript"></script>
<script src="your created .js file location" type="text/javascript"></script>
Like...
Code: 
http://site.com/js/links.js