Microsoft released a Hotfix to accompany the new jQuery VSDoc file.  The Hotfix is now available at the MSDN Code Gallery.  Here's a direct download link for this small (2MB) patch:

http://code.msdn.microsoft.com/KB958502/Release/ProjectReleases.aspx?ReleaseId=1736

This patch is intended for all JavaScript files, not just those related to jQuery.  Generally, Visual Studio will opportunistically look for documentation files related to the script file.  For example, given "mylibrary.js", we will search in the same directory for:

mylibrary-vsdoc.js, then if we don't find it we will search for...
mylibrary.debug.js, then if we don't find it we will search for...
mylibrary.js

This Hotfix is targeted at the latest public Visual Studio release, which today is VS2008 SP1.  If you're using VS2008 you will need to upgrade to SP1 before taking advantage of this patch.