In case anyone stumbles on this page, I’ve written very comprehensive instructions on how to add jFade:
http://sonicdesign.free.fr/gridalicious/comments.php?DiscussionID=4&page=1#Comment_128
I ran into the same issue. Ray’s fix did the trick here as well.
(Plus adding the parent folder before /wp-content/ I didn’t catch that one before)
Thanks Ray for digging into this.