JQuery not loading in nodejs script execution

When I am loading jqeury on the REPL mode of nodejs it works fine like this:

var $ = require('jquery');

When I have exact same line in a script and I try to run this from the command line I get this:

C:\Program Files\nodejs>node C:\work\script.js

module.js:340
    throw err;
          ^
Error: Cannot find module 'jquery'
    at Function.Module._resolveFilename (module.js:338:15)
    at Function.Module._load (module.js:280:25)
    at Module.require (module.js:364:17)
    at require (module.js:380:17)
    at Object.<anonymous> (C:\work\script.js:1:71)
    at Module._compile (module.js:456:26)
    at Object.Module._extensions..js (module.js:474:10)
    at Module.load (module.js:356:32)
    at Function.Module._load (module.js:312:12)
    at Function.Module.runMain (module.js:497:10)

I am on Win7 (64 bit) with nodejs v0.10.8.