Вообщем решил проблему сам, мб кому то и интересно будет:
<!DOCTYPE html PUBLIC "-//W3C//DTD XHTML 1.0 Transitional//EN" "http://www.w3.org/TR/xhtml1/DTD/xhtml1-transitional.dtd">
<html xmlns="http://www.w3.org/1999/xhtml">
<head>
<meta http-equiv="Content-Type" content="text/html; charset=utf-8" />
<title>Тест-тест</title>
<script type="text/javascript" src="jquery.js"></script>
<link href="styles.css" rel="stylesheet" type="text/css" />
</head>
<script type="text/javascript">
$(document).ready(function(){
$(".button").click(function(){
$(".box").toggleClass("active"); return false;
});
});
</script>
<body>
<div class="box">
<a href="#" class="button">Change color</a>
</div>
</body>
</html>
body {background-color:#999; margin: 0px; padding: 0px;}
.box {margin-top: 100px; margin-left: 100px; width: 300px; height: 200px; background-color: #906;}
.button {color:#333; text-decoration:none; margin-top: 15px; margin-left: 15px;}
.active {background-color:#0F3;}
Не хватало Return false