Make sure you have jQuery UI base and the color picker widget included on your page (as well as a copy of jQuery 1.3):
<link rel="stylesheet" href="http://dev.jquery.com/view/tags/ui/latest/themes/flora/flora.all.css" type="text/css" media="screen" title="Flora (Default)">
<script type="text/javascript" src="http://dev.jquery.com/view/tags/ui/latest/ui/ui.core.js"></script>
<script type="text/javascript" src="http://dev.jquery.com/view/tags/ui/latest/ui/ui.colorpicker.js"></script>
If you have those included, try posting your source so we can see what's going on.