That example has the parameter "bJ Query U" set to true; what this does is apply a bunch of classes to the markup. However, it does not automatically generate styles and graphics.
For this, you need to use a j Query U "Theme Roller" theme, available at their site. The jQueryUI CSS used for the DataTables demos is also included in the download package; you just need to include them.
As I recall, you will also need to include the CSS used for the demo (demo.css or whatever it's called) for certain layout styles.
If you look at the page that has the "Smoothness" theme and inspect the source code, you will see which CS S files are required.