How to add jQuery CDN Link in .html?

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Where should I add CDN Link in my Project? I have made a Project in Codepen, and over there It’s added in the Javascript column. But in my local machine do I have to add it in .html or .js? I have tried adding it in my <head> of .html but it’s not working.

 <script src="https://cdnjs.cloudflare.com/ajax/libs/jquery/3.5.1/jquery.min.js"></script>

Challenge: Build a Random Quote Machine

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