Checklist of things that need to be set up for this to work:
Ensure the TypeScript extension is installed. Check Tools -> Extension Manager and make sure "TypeScript for Microsoft Visual Studio" extension is installed. If it isn't, run the .vsix file found in the TypeScript folder (Program Files\Microsoft SDKs\TypeScript\<version>) to install the extension.
Ensure your file references the jquery.d.ts file. You should have a comment at/near the top of your file that looks like this: